It is common practice in time series analysis, to analyze count data using linear models, if necessary transforming the dependent variable to eliminate heteroskedasticity. David Greenberg, Sociology Department, New York University
----- Original Message -----
From: "Jennifer S. Earl" <[email protected]>
Date: Monday, March 15, 2004 2:15 pm
Subject: st: xtnbreg question, part 2
> Hi, I posted the following message on Friday and it was suggested
> by a list
> member that I should be using the time series modules, not the
> panel
> modules. I was also referred to a Stata volume on time series models.
>
> I am still uncertain about the answer though: my dependent
> variable is
> count data, which is not appropriately analyzed by linear models.
> I looked
> at the table of contents and index for the time series volume
> before I sent
> my original message and I did not see any commands for count data
> (such as
> negative binomial models). However, the xt series does have xtnbreg.
>
> So, my questions still remain: (1) is there a time series (but not
> cross
> sectional time series) command in stata for negative binomial
> models of
> count data (and if so, what is the command); and (2) if there is
> not, can I
> approximate this by manipulating how i and t are set in the
> xtnbreg command?
>
> Cheers,
>
> Jennifer
>
> > ------------------------------
> >
> > Date: Fri, 12 Mar 2004 16:44:18 -0800
> > From: "Jennifer S. Earl" <[email protected]>
> > Subject: st: xtnbreg question
> >
> > I have time series data on a set of variables for one nation for
> a period
> > of about 40 years. My dependent variable is a count variable. After
> > looking over the Stata manuals for xtnbreg, I am not sure how to
> > accommodate the fact that while I have time series data, these
> data are
> > not composed of cross-sections with multiple units in each cross
> section> (e.g. I do not have data for multiple nations in each
> year, just data on
> > one nation for multiple years).
> >
> > The manuals seems to suggest that Stata wants to handle data
> where i=panel
> > identifier (e.g., an id number for a person who contributes data for
> > multiple years, or a country id when multiple countries are
> present in the
> > time series) and t=time identifier (e.g., year) in xtnbreg. Further
> > xtnbreg *requires* that "i" is set either in the xtnbreg command
> or using
> > "iis (varname)", even though it does not require "t" to be set.
> >
> > I have two questions: (1) should I be using a command other than
> xtnbreg> to analyze this time-series count data; and (2) if
> xtnbreg is appropriate,
> > will using the following settings:
> >
> > iis year
> > tis year
> > xtnbreg dep_count_var ind_var1 ind_var2...
> >
> > produce appropriate results?
> >
> > Thanks in advance,
> >
> > Jennifer
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> > ------------------------------
> >
> > Date: Fri, 12 Mar 2004 20:03:13 -0500
> > From: David Greenberg <[email protected]>
> > Subject: Re: st: xtnbreg question
> >
> > If you have data for a singlenation for multiple years, you
> should be
> > estimating time series models, not models for panel data. Stata
> Press> publishes an entire manual devoted to such models.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
