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 as well. 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....) 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
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