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st: Time Series Poisson
From
Richard Williams <[email protected]>
To
[email protected]
Subject
st: Time Series Poisson
Date
Sun, 30 Oct 2011 20:53:40 -0500
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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