st: Time Series Poisson

[Richard Williams <richardwilliams.ndu@gmail.com>]

One of my students (a political scientist of course -- they always 
bring up these weird problems I have never encountered myself!) has a 
data set that consists of 45 yearly records for the United States. 
The dependent variable is a count. It sounded to me like the sort of 
thing that should be analyzed by a time series poisson model. But, 
unfortunately, I wasn't even sure that such a thing existed - I was 
hoping there was a tspoisson command, but no such luck.
However, I found this Stata Technical Bulletin for a very old 
user-written command called nwest. 
http://www.stata.com/products/stb/journals/stb39.pdf. It says "This 
article discusses the calculation of standard errors that are robust 
to heteroscedasticity and serial correlation for probit, logit, and 
poisson regression models."
I also found this slightly newer post from 2003: 
http://www.stata.com/statalist/archive/2003-06/msg00258.html.
What I take from this is that he should -tsset- his data and use 
-glm- to estimate a Poisson model with Newey-West standard errors, 
e.g. something like
glm y x1 x2 x3, family(poisson) link(log) vce(hac nwest)

Does this sound right, and if so is this the best he can do, at least 
with Stata?

-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

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