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I need to estimate an inferential statistical model of a variable that is a set of 8 proportions that sum to 1. The data repeat for 25 years and the series is an AR1 process. Is there a statistical software (R, STATA, or a Python library) that can estimate a dirichlet/multinomial dirichlet model and also correct the standard errors for AR1 serial correlation? It looks like dirifit in STATA and VGAM in R do not have a way to correct for AR1 serial correlation. Is there any other package/library that I am missing?

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  • $\begingroup$ Have you considered a Bayesian model in rstan? You can set up the exact data process that you want. $\endgroup$
    – R Carnell
    Commented Jan 28 at 21:05
  • $\begingroup$ I'll check it out! Thanks for the tip. $\endgroup$
    – Heather Ba
    Commented Jan 29 at 16:02

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