POISSARK: Stata module to perform Poisson regression with integer-valued autoregressive-corrected standard errors

Ariel Linden

Statistical Software Components from Boston College Department of Economics

Abstract: poissark fits Poisson regression models for count time series with autoregressive errors of order k. Regression coefficients are estimated by Poisson maximum likelihood; the AR thinning parameters rho_1,...,rho_k are estimated by conditional least squares (CLS) applied to the integer-valued autoregressive (INAR(p)) model of Du and Li (1991), which extends the INAR(1) model of McKenzie (1985) and Al-Osh and Alzaid (1987) to arbitrary order using independent binomial thinning at each lag. Standard errors for the regression coefficients are corrected via an INAR-corrected sandwich estimator that accounts for the estimated autocorrelation structure (Klimko and Nelson 1978). Only positive autocorrelation is supported (rho_j >= 0), which is a fundamental constraint of the binomial thinning mechanism.

Language: Stata
Requires: Stata version 14
Keywords: Poisson regreession; autoregressive errors; conditional least squares; integer-valued autoregressive model (search for similar items in EconPapers)
Date: 2026-06-11
Note: This module should be installed from within Stata by typing "ssc install poissark". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/poissark.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/poissark_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/poissark.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/poissark_example.dta

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