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Re: st: autoregressive conditional poisson (ACP) model


From   "Kristen Shorette" <kshorett@uci.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: autoregressive conditional poisson (ACP) model
Date   Mon, 28 Feb 2011 15:00:23 -0800

That would be great if you could share the Eviews code.
Thanks,
Kristen


> 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
>>
>>
>>
>>
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>>
>
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>


-- 
Department of Sociology
University of California, Irvine

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