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From | Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: autoregressive conditional poisson (ACP) model |
Date | Mon, 28 Feb 2011 17:15:47 -0500 |
To the best of my knowledge, Stata does not have a built in command to estimate the ACP model (Heinen(2003): Modelling time series count data: An autoregressive conditional Poisson model). I had to estimate this model a while ago and I found difficult to program it in Stata because it seems to me that Stata evaluates the likelihood function on all the observations at once instead of doing it recursively, which is the default for more time series oriented programs like Rats or Eviews. I wrote some code to estimate this model in Eviews which I can share with you, without warranty... _______________________ Jorge Eduardo Pérez Pérez On Mon, Feb 28, 2011 at 1:13 PM, Kristen Shorette <kshorett@uci.edu> wrote: > Hi, I have Poisson-distributed count data over time and therefore need to > account for serial correlation in addition to the standard issues with > count data. Does Stata have a function for running autoregressive > conditional poisson (ACP) models? > Thanks, > Kristen > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/