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FIML estimation of an endogenous switching model for count data

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Author Info
Alfonso Miranda (Economics Department, University of Warwick)

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Abstract

This paper presents code for fitting a FIML endogenous switching Poisson count model for cross-sectional data in Stata 7: the espoisson command. The Poisson process depends on an unobserved heterogeneity term, ; a set of explanatory variables, x; and an endogenous dummy, d. The endogenous dummy depends on an unobserved random term, . Correlation between  and  is allowed. If a model with exogenous d is fitted instead, correlation between  and  will result in simultaneous equation bias. The endogenous switching model corrects this problem. After describing the underlying econometric theory behind the command, an example is discussed.

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Publisher Info
Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 4 (2004)
Issue (Month): 1 (March)
Pages: 40-49
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Handle: RePEc:tsj:stataj:v:4:y:2004:i:1:p:40-49

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Related research
Keywords: count models; endogenous switch; sample selection;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Wiji Arulampalam & Alison L. Booth, 1997. "Who gets over the training hurdle? A study of the training experiences of young men and women in Britain," Journal of Population Economics, Springer, vol. 10(2), pages 197-217. [Downloadable!] (restricted)
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  2. Francisco Covas & J.M.C. Santos Silva, 2000. "A modified hurdle model for completed fertility," Journal of Population Economics, Springer, vol. 13(2), pages 173-188. [Downloadable!] (restricted)
  3. William H. Greene, 1994. "Accounting for Excess Zeros and Sample Selection in Poisson and Negative Binomial Regression Models," Working Papers 94-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  4. Weiren Wang & Felix Famoye, 1997. "Modeling household fertility decisions with generalized Poisson regression," Journal of Population Economics, Springer, vol. 10(3), pages 273-283. [Downloadable!] (restricted)
  5. Terza, Joseph V., 1998. "Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects," Journal of Econometrics, Elsevier, vol. 84(1), pages 129-154, May. [Downloadable!] (restricted)
  6. Windmeijer, F A G & Silva, J M C Santos, 1997. "Endogeneity in Count Data Models: An Application to Demand for Health Care," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 281-94, May-June. [Downloadable!]
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kevin E. Staub, 2009. "Simple tests for exogeneity of a binary explanatory variable in count data regression models," Working Papers 0904, University of Zurich, Socioeconomic Institute. [Downloadable!]
  2. Alfonso Miranda & Sophia Rabe-Hesketh, 2005. "Maximum Likelihood Estimation of Endogenous Switching And Sample Selection Models for Binary, Count, And Ordinal Variables," Keele Economics Research Papers KERP 2005/14, Centre for Economic Research, Keele University. [Downloadable!]
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