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Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts

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Author Info
A. Colin Cameron
Tong Li
Pravin K. Trivedi
David M. Zimmer

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Abstract

This paper makes three contributions. Firstly, it uses copula functions to obtain a flexible bivariate parametric model for non-negative integer-valued data (counts). Secondly, it recovers the distribution of the difference in the two counts from a specified bivariate count distribution. Thirdly, the methods are applied to counts that are measured with error. Specifically, we model the determinants of the difference between the self-reported number of doctor visits (measured with error) and true number of doctor visits (also available in the data used). Copyright Royal Economic Socciety 2004

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Publisher Info
Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 7 (2004)
Issue (Month): 2 (December)
Pages: 566-584
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Handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:566-584

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  1. Chandra Bhat & Ipek Sener, 2009. "A copula-based closed-form binary logit choice model for accommodating spatial correlation across observational units," Journal of Geographical Systems, Springer, vol. 11(3), pages 243-272, September. [Downloadable!] (restricted)
  2. Eugenio Miravete, 2007. "“Competing with Menus of Tariff Options”," Working Papers 07-02, NET Institute, revised Jul 2007. [Downloadable!]
  3. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  4. Artem Prokhorov & Peter Schmidt, 2009. "Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas," Working Papers 09002, Concordia University, Department of Economics. [Downloadable!]
  5. Miravete, Eugenio J, 2007. "Competing with Menus of Tariff Options," CEPR Discussion Papers 6279, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  6. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  7. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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