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FIML estimation of an endogenous switching model for count data

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Author Info
Alfonso Miranda Caso Luengo () (Warwick University)

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Abstract

We develop FIML code for estimating a Poisson Count data model with lognormal unobserved heterogeneity and an endogenous dummy variable as proposed by Terza (1998). Gauss-Hermite quadrature is used for calculating the log-likelihood and a -ml d0- method is employed. We present an example and discuss the problems found during the development of the code.

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Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2003 with number 07.

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Date of creation: 16 Mar 2003
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Handle: RePEc:boc:usug03:07

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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!]
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  1. 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!]
  2. 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!]
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