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Modèles de comptage semi-paramétriques

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  • Christian Gourieroux

    (Crest)

  • Alain Monfort

    (Crest)

Abstract

In this paper, we introduce a new class of models for count endogenous variables, i.e. the additive log-differentiated probability models (ALDP). This class is similar to the semi-parametric proportional hazard models used for duration data, and has some interesting implications in terms of costs or benefits. The asymptotic properties of the maximum likelihood estimators are studied and compared with the properties of the discriminant analysis estimators. We also explain why these models are suitable in the framework of endogenous sampling. Finally we discuss the introduction of heterogeneity. Dans cet article nous définissons une nouvelle classe de modèles pour les variables endogènes entières : les modèles additifs log-différenciés en probabilité (ALDP). Cette classe a des analogies avec les modèles semi-paramétriques de hasard proportionnel pour les modèles de durées et a des interprétations intéressantes en terme de coûts (ou de bénéfices). Les propriétés asymptotiques des estimateurs du maximum de vraisemblance pour ces modèles sont étudiées et comparées à celles des estimateurs de l’analyse discriminante. On propose également des estimateurs adaptés au cas d’échantillons stratifiés de façon exogène ou endogène. Enfin, le cas d’observations hétérogènes est discuté.
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  • Christian Gourieroux & Alain Monfort, 1997. "Modèles de comptage semi-paramétriques," Working Papers 97-34, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:97-34
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    References listed on IDEAS

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    1. Hall, Bronwyn H & Griliches, Zvi & Hausman, Jerry A, 1986. "Patents and R and D: Is There a Lag?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(2), pages 265-283, June.
    2. repec:crs:wpaper:8903 is not listed on IDEAS
    3. Cameron, A Colin & Trivedi, Pravin K, 1986. "Econometric Models Based on Count Data: Comparisons and Applications of Some Estimators and Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(1), pages 29-53, January.
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    5. Hausman, Jerry & Hall, Bronwyn H & Griliches, Zvi, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," Econometrica, Econometric Society, vol. 52(4), pages 909-938, July.
    6. Boyer, Marcel & Dionne, Georges, 1989. "An Empirical Analysis of Moral Hazard and Experience Rating," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 128-134, February.
    7. Szroeter, Jerzy, 1983. "Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions," Econometrica, Econometric Society, vol. 51(2), pages 335-353, March.
    8. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    9. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
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