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Count data models with correlated unobserved heterogeneity


Boes, Stefan (2010). Count data models with correlated unobserved heterogeneity. Scandinavian Journal of Statistics, 37(3):382-402.

Abstract

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Non-linear instrumental variables estimation of an exponential model under conditional moment restrictions is one of the proposed remedies. This approach is extended here by fully exploiting the model assumptions and thereby improving efficiency of the resulting estimator. Empirical likelihood in particular has favourable properties in this setting compared with the two-step generalized method of moments, as demonstrated in a Monte Carlo experiment. The proposed method is applied to the estimation of a cigarette demand function.

Abstract

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Non-linear instrumental variables estimation of an exponential model under conditional moment restrictions is one of the proposed remedies. This approach is extended here by fully exploiting the model assumptions and thereby improving efficiency of the resulting estimator. Empirical likelihood in particular has favourable properties in this setting compared with the two-step generalized method of moments, as demonstrated in a Monte Carlo experiment. The proposed method is applied to the estimation of a cigarette demand function.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Language:English
Date:19 April 2010
Deposited On:07 Sep 2010 12:38
Last Modified:05 Apr 2016 14:00
Publisher:Wiley-Blackwell
ISSN:0303-6898
Publisher DOI:https://doi.org/10.1111/j.1467-9469.2010.00689.x

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