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On the Existence of the Maximum Likelihood Estimates for Poisson Regression

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Author Info
J. M. C. Santos Silva
Silvana Tenreyro

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Abstract

We note that the existence of the maximum likelihood estimates for Poisson regressiondepends on the data configuration. Because standard software does not check for thisproblem, the practitioner may be surprised to find that in some applications estimation of thePoisson regression is unusually difficult or even impossible. More seriously, the estimationalgorithm may lead to spurious maximum likelihood estimates. We identify the signs of thenon-existence of the maximum likelihood estimates and propose a simple empirical strategyto single out the regressors causing this type of identification failure.

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Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number dp0932.

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Date of creation: May 2009
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Handle: RePEc:cep:cepdps:dp0932

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Related research
Keywords: Poisson estimation; gravity equation;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
F10 - International Economics - - Trade - - - General

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  1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May. [Downloadable!] (restricted)
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  2. Manning, Willard G. & Mullahy, John, 2001. "Estimating log models: to transform or not to transform?," Journal of Health Economics, Elsevier, vol. 20(4), pages 461-494, July. [Downloadable!] (restricted)
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  3. J. M. C. Santos Silva & Silvana Tenreyro, 2006. "The Log of Gravity," The Review of Economics and Statistics, MIT Press, vol. 88(4), pages 641-658, 09. [Downloadable!] (restricted)
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