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Re: st: autoregressive conditional poisson (ACP) model
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
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 <[email protected]> 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
>
>
>
>
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