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Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach


Boes, Stefan (2007). Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach. Working paper series / Socioeconomic Institute No. 704, University of Zurich.

Abstract

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Using a specific residual function and suitable instruments, a consistent generalized method of moments estimator can be obtained under conditional moment restrictions. This approach is extended here by fully exploiting the model assumptions and thereby improving efficiency of the resulting estimator. Empirical likelihood estimation in particular has favorable properties in this setting compared to the two-step GMM procedure, which is 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. Using a specific residual function and suitable instruments, a consistent generalized method of moments estimator can be obtained under conditional moment restrictions. This approach is extended here by fully exploiting the model assumptions and thereby improving efficiency of the resulting estimator. Empirical likelihood estimation in particular has favorable properties in this setting compared to the two-step GMM procedure, which is 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:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Socioeconomic Institute (former)
Dewey Decimal Classification:330 Economics
JEL Classification:C14, C25, D12
Language:English
Date:March 2007
Deposited On:29 Nov 2011 22:47
Last Modified:21 Nov 2017 15:37
Series Name:Working paper series / Socioeconomic Institute
Official URL:http://www.econ.uzh.ch/wp.html

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