Re: [R] Time Series Count Models

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sun 17 Jul 2005 - 11:14:09 EST

          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
>
> ______________________________________________
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves@pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915

______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Received on Sun Jul 17 11:23:44 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:33:46 EST