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Panelökonometrische Modelle für Zähldaten: Einige neuere Schätzverfahren

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  • Winfried Pohlmeier

Abstract

The principle of method of moments is applied in this paper to the estimation of panel models where the explanatory variable is a count variable. The estimators introduced account for invididual heterogeneity in terms of a fixed or a random individual effect as well as for time dependent deviations of the endogenous variable from its mean according to an error term in the linear regression model. Contrary to the maximum likelihood approaches proposed by Hausman, Hall and Griliches no distributional assumptions are required with respect to the endogenous variable and the error terms. Finally, a simple two-stage estimator for a count data model with random effects is introduced, which can be used to test the stability of the parameters over time.

Suggested Citation

  • Winfried Pohlmeier, 1994. "Panelökonometrische Modelle für Zähldaten: Einige neuere Schätzverfahren," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 553-574, September.
    • Handle: RePEc:ses:arsjes:1994-iii-18
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    1. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.

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