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GMM for panel count data models

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  • Frank Windmeijer

    ()
    (Institute for Fiscal Studies and University of Bristol)

Abstract

This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are central. Moment conditions are discussed for these type of problems that enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are known to have poor finite sample behaviour, alternative test procedures that have recently been proposed in the literature are evaluated by means of a Monte Carlo study.

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File URL: http://cemmap.ifs.org.uk/wps/cwp2106.pdf
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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP21/06.

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Date of creation: Oct 2006
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Handle: RePEc:ifs:cemmap:21/06

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Keywords: GMM; exponential models; hypothesis testing;

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References

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  1. Wooldridge, J.M., 1990. "Distribution-Free Estimation Of Some Nonlinear Panel Data Models," Working papers 564, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. repec:cup:etheor:v:13:y:1997:i:5:p:667-78 is not listed on IDEAS
  3. Montalvo, Jose G, 1997. "GMM Estimation of Count-Panel-Data Models with Fixed Effects and Predetermined Instruments," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 82-89, January.
  4. Willard G. Manning & Anirban Basu & John Mullahy, 2003. "Generalized Modeling Approaches to Risk Adjustment of Skewed Outcomes Data," Working Papers 0313, Harris School of Public Policy Studies, University of Chicago.
  5. Blundell, Richard & Griffith, Rachel & van Reenen, John, 1999. "Market Share, Market Value and Innovation in a Panel of British Manufacturing Firms," Review of Economic Studies, Wiley Blackwell, vol. 66(3), pages 529-54, July.
  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.
  7. 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 909-38, July.
  8. Joao Santos Silva & Silvana Tenreyro, 2005. "The log of gravity," LSE Research Online Documents on Economics 3744, London School of Economics and Political Science, LSE Library.
  9. Steve Bond & Clive Bowsher & Frank Windmeijer, 2001. "Criterion-based inference for GMM in autoregressive panel-data models," IFS Working Papers W01/02, Institute for Fiscal Studies.
  10. Stephen Bond & Frank Windmeijer, 2005. "Reliable Inference For Gmm Estimators? Finite Sample Properties Of Alternative Test Procedures In Linear Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 1-37.
  11. Martin Schellhorn, 2001. "The effect of variable health insurance deductibles on the demand for physician visits," Health Economics, John Wiley & Sons, Ltd., vol. 10(5), pages 441-456.
  12. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
  13. Chirok Han & Peter C. B. Phillips, 2006. "GMM with Many Moment Conditions," Econometrica, Econometric Society, vol. 74(1), pages 147-192, 01.
  14. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  16. Windmeijer, Frank, 2000. "Moment conditions for fixed effects count data models with endogenous regressors," Economics Letters, Elsevier, vol. 68(1), pages 21-24, July.
  17. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, 01.
  18. Andrés Romeu, 2004. "ExpEnd: GAUSS code for panel count-data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 429-434.
  19. Wooldridge, Jeffrey M., 1997. "Multiplicative Panel Data Models Without the Strict Exogeneity Assumption," Econometric Theory, Cambridge University Press, vol. 13(05), pages 667-678, October.
  20. Blundell, Richard & Griffith, Rachel & Windmeijer, Frank, 2002. "Individual effects and dynamics in count data models," Journal of Econometrics, Elsevier, vol. 108(1), pages 113-131, May.
  21. Crepon, Bruno & Duguet, Emmanuel, 1997. "Estimating the Innovation Function from Patent Numbers: GMM on Count Panel Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 243-63, May-June.
  22. Frank Windmeijer, 2002. "ExpEnd, A Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data," CeMMAP working papers CWP14/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  23. �ngel Marcos Vera-Hernández, 1999. "Duplicate coverage and demand for health care. The case of Catalonia," Health Economics, John Wiley & Sons, Ltd., vol. 8(7), pages 579-598.
  24. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-80, July.
  25. Robert M. Salomon & J. Myles Shaver, 2005. "Learning by Exporting: New Insights from Examining Firm Innovation," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 14(2), pages 431-460, 06.
  26. Morgan Kelly, 2000. "Inequality And Crime," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 530-539, November.
  27. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
  28. Woodridge, J.M., 1991. "Multiplicative Panel Data Models without the Strict Exogeneity Assumption," Working papers 574, Massachusetts Institute of Technology (MIT), Department of Economics.
  29. repec:ebl:ecbull:v:3:y:2005:i:13:p:1-6 is not listed on IDEAS
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Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. GMM and its application outside finance
    by Chris Auld in ChrisAuld.com on 2013-10-21 19:55:38
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:
  1. Becker, Sascha & Egger, Peter H & Merlo, Valeria, 2008. "How Low Business Tax Rates Attract Multinational Headquarters: Municipality-Level Evidence from Germany," Stirling Economics Discussion Papers 2008-30, University of Stirling, Division of Economics.
  2. Yoshitsugu Kitazawa, 2007. "Some additional moment conditions for a dynamic count panel data model," Discussion Papers 29, Kyushu Sangyo University, Faculty of Economics, revised Aug 2008.
  3. Yoshitsugu Kitazawa, 2009. "A negative binomial model and moment conditions for count panel data," Discussion Papers 34, Kyushu Sangyo University, Faculty of Economics.
  4. Briant, Anthony & Combes, Pierre-Philippe & Lafourcade, Miren, 2009. "Product Complexity, Quality of Institutions and the Pro-Trade Effect of Immigrants," CEPR Discussion Papers 7192, C.E.P.R. Discussion Papers.
  5. Pravin K. Trivedi, 2010. "Keynote lecture: Estimation of count-data panel models," Mexican Stata Users' Group Meetings 2010 06, Stata Users Group.
  6. Peter Egger & Christoph Jeßberger & Mario Larch, 2011. "Trade and investment liberalization as determinants of multilateral environmental agreement membership," International Tax and Public Finance, Springer, vol. 18(6), pages 605-633, December.
  7. Das, Amarendra, 2012. "Who extracts minerals more efficiently—Public or private firms? A study of Indian mining industry," Journal of Policy Modeling, Elsevier, vol. 34(5), pages 755-766.
  8. Yoshitsugu Kitazawa, 2009. "Equidispersion and moment conditions for count panel data model," Discussion Papers 33, Kyushu Sangyo University, Faculty of Economics.
  9. Yoshitsugu Kitazawa, 2010. "Size of economic activity and occurrence of fatal traffic accidents: a count panel data analysis on Fukuoka prefecture in Japan," Discussion Papers 41, Kyushu Sangyo University, Faculty of Economics.
  10. Yoshitsugu Kitazawa, 2010. "A forward demeaning transformation for a dynamic count panel data model," Discussion Papers 39, Kyushu Sangyo University, Faculty of Economics.

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