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Re: st: Time Series Poisson

From   Richard Williams <>
Subject   Re: st: Time Series Poisson
Date   Mon, 31 Oct 2011 21:07:31 -0500

At 08:53 PM 10/30/2011, Richard Williams 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. 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:

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?

Thanks again to everyone who has offered suggestions, both on and off list. I thought there might be no suggestions, and instead I am feeling a bit overwhelmed by all the articles and ideas that have been tossed out. Two followup questions:

1. Is there any particular reason that more of the methods in the suggested articles haven't already been programmed into Stata? Is it because of lack of demand, or is it because of disagreement over what is legitimate or what is best?

2. What about the original idea suggested above, using glm with Newey-West errors? Is it a terrible idea, better than nothing, or not so bad? It is the one thing I know my student could figure out how to run in Stata, whereas I am not so sure with all the other ideas that have been suggested.

Richard Williams, Notre Dame Dept of Sociology
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