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Fw: st: regress nonlinear panel data model with AR(1) error term


From   Alexander Cavallo <[email protected]>
To   [email protected]
Subject   Fw: st: regress nonlinear panel data model with AR(1) error term
Date   Tue, 14 Dec 2004 13:00:12 -0600

Not sure why this has not shown up.

--Alex Cavallo

Managing Consultant
Navigant Consulting, Inc.

----- Forwarded by Alexander Cavallo/NCI on 12/14/2004 12:56 PM -----

Alexander Cavallo/NCI wrote on 12/14/2004 10:13:16 AM:

> Bin,
> 
> Blundell, Griffith and Windmeijer (2000) show that with panel data, 
> the possion fixed effect estimator is consistent.  In a private 
> email, Windmeijer suggested the use of Stata's xtpois with the fe 
option.
> 
> I think you could use xtgee for the models you propse.
> 
> Model 1:     xtgee y x1 x2, family(poisson) link(log) corr(ar1)
> 
> Create dummies for your id variable
> tab(id), gen(dum)
> 
> Model 2:     xtgee y x1 x2 dum*, family(poisson) link(log) corr(ar1)
> 
> Here's a reference on the consistency of poisson fixed effects
>  Blundell, Griffith, Windmeijer "Individual effects and dynamics in 
> count data models" (Institute for Fiscal Studies Working Paper W99/3).

> 
> --Alex Cavallo
> 
> Managing Consultant
> Navigant Consulting, Inc.

> 
> Subject: st: regress nonlinear panel data model with AR(1) error term 
> 
> Hi,
> I have some questions on regression of two models. I have PANEL COUNT 
data.
> I want two models by two different error term specification.
> 1. the error term is AR(1) and no individual effect.
> 2. the error term is AR(1) plus the individual effect.
> 
> Does anyone know how I can regress these two models
> 
> Best,
> Bin Sun
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