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

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

Author Info

Austin Nichols ()

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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
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File URL: http://fmwww.bc.edu/repec/bocode/i/iv_poisson.ado
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivpois.sthlp
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivpois_c.do
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivp_cig.dta
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivp_bwt.dta
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Publisher 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 may be installed from within Stata by typing "ssc install ivpois". Windows users should not attempt to download these files with a web browser.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
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Web page: http://fmwww.bc.edu/EC/
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This page was last updated on 2009-11-14.

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