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On the Existence of the Maximum Likelihood Estimates for Poisson Regression

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  • J. M. C. Santos Silva
  • Silvana Tenreyro

Abstract

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

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Bibliographic Info

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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Web page: http://cep.lse.ac.uk/_new/publications/series.asp?prog=CEP

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Keywords: Poisson estimation; gravity equation;

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  1. 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.
  2. Dr Alex Bryson, 2009. "Employee Voice and Private Sector Workplace Outcomes in Britain, 1980-2004," NIESR Discussion Papers, National Institute of Economic and Social Research 2200, National Institute of Economic and Social Research.
  3. Santos Silva, Joao & Tenreyro, Silvana, 2005. "The Log of Gravity," CEPR Discussion Papers 5311, C.E.P.R. Discussion Papers.
  4. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, Econometric Society, vol. 52(3), pages 701-20, May.
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Cited by:
  1. Egger, Peter & Larch, Mario, 2011. "An assessment of the Europe agreements' effects on bilateral trade, GDP, and welfare," European Economic Review, Elsevier, vol. 55(2), pages 263-279, February.
  2. Michel Beine & Frédéric Docquier & Caglar Özden, 2011. "Dissecting Network Externalities in International Migration," CREA Discussion Paper Series 11-09, Center for Research in Economic Analysis, University of Luxembourg.
  3. Pels, 2010. "International Asset Holdings and the Euro," The Institute for International Integration Studies Discussion Paper Series iiisdp331, IIIS.

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