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Re: st: Time Series Poisson
From
Tirthankar Chakravarty <[email protected]>
To
[email protected]
Subject
Re: st: Time Series Poisson
Date
Sun, 30 Oct 2011 18:04:46 -0700
Richard,
See chapter 4 in this book:
http://amzn.com/0471363553
T
On Sun, Oct 30, 2011 at 6:53 PM, Richard Williams
<[email protected]> wrote:
> 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: [email protected]
> WWW: http://www.nd.edu/~rwilliam
>
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>
--
Tirthankar Chakravarty
[email protected]
[email protected]
*
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