[R] Time Series Count Models

Spencer Graves spencer.graves at pdf.com
Sun Jul 17 03:14:09 CEST 2005

	  Have you considered "lme" in library(nlme)?  If you want to go this 
route, I recommend Pinheiro and Bates (2000) Mixed-Effect Models in S 
and S-Plus (Springer).

	  spencer graves

Brett Gordon wrote:

> Hello,
> I'm trying to model the entry of certain firms into a larger number of
> distinct markets over time. I have a short time series, but a large
> cross section (small T, big N).
> I have both time varying and non-time varying variables. Additionally,
> since I'm modeling entry of firms, it seems like the number of
> existing firms in the market at time t should depend on the number of
> firms at (t-1), so I would like to include the lagged cumulative count.
> My basic question is whether it is appropriate (in a statistical
> sense) to include both the time varying variables and the lagged
> cumulative count variable. The lagged count aside, I know there are
> standard extensions to count models to handle time series. However,
> I'm not sure if anything changes when lagged values of the cumulative
> dependent variable are added (i.e. are the regular standard errors
> correct, are estimates consistent, etc....).
> Can I still use one of the time series count models while including
> this lagged cumulative value?
> I would greatly appreciate it if anyone can direct me to relevant
> material on this. As a note, I have already looked at Cameron and
> Trivedi's book.
> Many thanks,
> Brett
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Spencer Graves, PhD
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