Re: [R] Time Series Count Models

From: Brett Gordon <brgordon_at_gmail.com>
Date: Tue 19 Jul 2005 - 07:53:42 EST

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).

Thanks,
Brett

On 7/16/05, Spencer Graves <spencer.graves@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
> >
> > ______________________________________________
> > 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 Tue Jul 19 07:57:48 2005

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