[R] Time Series Count Models
brgordon at gmail.com
Mon Jul 18 23:53:42 CEST 2005
Thanks for the suggestion. Is such a model appropriate for count data?
The library you reference seems to just be form standard regressions
(ie those with continuous dependent variables).
On 7/16/05, Spencer Graves <spencer.graves at pdf.com> wrote:
> 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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