Advanced Search
MyIDEAS: Login

Modèles de comptage semi-paramétriques

Contents:

Author Info

  • 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.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.crest.fr/content/blogcategory/21/54/
File Function: Crest working paper version
Download Restriction: no

Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 97-34.

as in new window
Length:
Date of creation: 1997
Date of revision:
Handle: RePEc:crs:wpaper:97-34

Contact details of provider:
Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
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.:
as in new window
  1. Lo, Andrew W., 1986. "Logit versus discriminant analysis : A specification test and application to corporate bankruptcies," Journal of Econometrics, Elsevier, vol. 31(2), pages 151-178, March.
  2. 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.
  3. repec:fth:inseep:8903 is not listed on IDEAS
  4. Dionne, G & Vanasse, C, 1992. "Automobile Insurance Ratemaking in the Presence of Asymmetrical Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 149-65, April-Jun.
  5. 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 265-83, June.
  6. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
  7. Szroeter, Jerzy, 1983. "Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions," Econometrica, Econometric Society, vol. 51(2), pages 335-53, March.
  8. Hoy, Michael, 1982. "Categorizing Risks in the Insurance Industry," The Quarterly Journal of Economics, MIT Press, vol. 97(2), pages 321-36, May.
  9. Jerry A. Hausman & Bronwyn H. Hall & Zvi Griliches, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," NBER Technical Working Papers 0017, National Bureau of Economic Research, Inc.
  10. 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 128-34, February.
  11. Gourieroux, C. & Monfort, A., 1989. "A General Framework for Testing a Null Hypothesis in a “Mixed” Form," Econometric Theory, Cambridge University Press, vol. 5(01), pages 63-82, April.
  12. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:97-34. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.