RE: st: count time series model

["Ikuho Kochi" <ikuho.kochi@uacj.mx>]

Thank you Bob for your suggestion.  I looked over the paper and it seems more complicated than I hoped for.  Not sure if I am able to 
carry out this estimation...

I still wonder if there is any ready to use built-in command in STATA to test and account for serial correlation in count time series data?

ikuho
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Robert A Yaffee [bob.yaffee@nyu.edu]
Sent: Tuesday, January 28, 2014 9:50 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: count time series model

Ikuho,
     You may want to investigate the Generalized Autoregressive Score models of
Creele, Koopman and Lucas, which implement this kind of analysis.
      Sincerely,
           Bob Yaffee

On Tue, Jan 28, 2014 at 4:42 PM, Ikuho  Kochi <ikuho.kochi@uacj.mx> wrote:
>
> I am using STATA version 12, not 13. Sorry for the confusion.
>
> On Jan 28, 2014, at 10:39 AM, "Ikuho  Kochi" <ikuho.kochi@uacj.mx> wrote:
>
>> Dear fellow statisticians,
>>
>> I have a count time series data set and would like to test and correct serial correlations in my time series model.
>> I saw previous posts related to this topic, and one of the comment was to use Newey-West standard errors with nbreg command.
>> However, I can not find the option to incorperate Newey-West standard errors with nbreg command with STATA version 13.
>> I wonder if somebody knows how to do this, or have any other suggestion.
>>
>> Also, I wonder if there is any test that is already programmed in STATA to test for serial correlation in count time series data model.
>> I have more than 500 subset of samples, and it would be very time consuming for me to check the correlation between residuals for different time period for each of 500 samples...
>> If there is already a programmed command for this test, it will help me to save time greatly.
>>
>> Thank you for your attention.
>>
>> Ikuho
>>
>>
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--
Bob Yaffee

Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf
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