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IVPOIS: Stata module to estimate an instrumental variables Poisson regression via GMM

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Author Info

  • Austin Nichols

    ()

Abstract

ivpois implements a Generalized Method of Moments (GMM) estimator of Poisson regression and allows endogenous variables to be instrumented by excluded instruments, hence the acronym for Instrumental Variables (IV) in its name. Standard errors are estimated by bootstrapping. Poisson regression assumes E[y|X]=exp(Xb) to get a consistent estimate of b, so it is appropriate for a wide variety of models where the dependent variable is nonnegative (zero or positive), not just where the dependent variable measures counts of events. The central code was promulgated by Bill Gould at a Seminar in DC on November 2, 2007.

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File URL: http://fmwww.bc.edu/repec/bocode/i/ivpois.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/i/iv_poisson.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivpois.sthlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivpois_c.do
File Function: sample program
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivp_cig.dta
File Function: sample data file
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivp_bwt.dta
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456890.

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Programming language: Stata
Requires: Stata version 10
Date of creation: 11 Nov 2007
Date of revision: 03 Sep 2008
Handle: RePEc:boc:bocode:s456890

Note: This module should be installed from within Stata by typing "ssc install ivpois". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: Poisson regression; GMM; instrumental variables;

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