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Empirical Likelihood in Count Data Models: The Case of Endogenous Regressors

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Author Info
Stefan Boes () (Socioeconomic Institute, University of Zurich)

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Abstract

Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have been suggested alternatively. In this paper I discuss empirical likelihood (EL) estimation for count data models with endogenous regressors. I carefully distinguish between parametric and semi-parametric methods and analyze the properties of the EL estimator by means of a Monte Carlo experiment. I apply the proposed method to estimate the effect of women’s schooling on fertility.

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File URL: http://www.soi.uzh.ch/research/wp/2004/wp0404.pdf
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Paper provided by University of Zurich, Socioeconomic Institute in its series Working Papers with number 0404.

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Length: 22 pages
Date of creation: Mar 2004
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Handle: RePEc:soz:wpaper:0404

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Related research
Keywords: Nonparametric likelihood; Poisson model; endogeneity; fertility and education;

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
J13 - Labor and Demographic Economics - - Demographic Economics - - - Fertility; Family Planning; Child Care; Children; Youth

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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.:
  1. 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.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. Smith, Richard J, 1997. "Alternative Semi-parametric Likelihood Approaches to Generalised Method of Moments Estimation," Economic Journal, Royal Economic Society, vol. 107(441), pages 503-19, March. [Downloadable!] (restricted)
  4. 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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  5. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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  6. John Mullahy, 1997. "Instrumental-Variable Estimation Of Count Data Models: Applications To Models Of Cigarette Smoking Behavior," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 586-593, November. [Downloadable!] (restricted)
  7. Guido W. Imbens & Richard H. Spady & Phillip Johnson, 1998. "Information Theoretic Approaches to Inference in Moment Condition Models," Econometrica, Econometric Society, vol. 66(2), pages 333-358, March.
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  8. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  9. 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. [Downloadable!] (restricted)
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  10. Miguel A. Delgado & Thomas J. Kniesner, 1997. "Count Data Models With Variance Of Unknown Form: An Application To A Hedonic Model Of Worker Absenteeism," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 41-49, February. [Downloadable!] (restricted)
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  11. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
  12. Sander, William, 1992. "The effect of women's schooling on fertility," Economics Letters, Elsevier, vol. 40(2), pages 229-233, October. [Downloadable!] (restricted)
  13. Grogger, Jeffrey, 1990. "A simple test for exogeneity in probit, logit, and poisson regression models," Economics Letters, Elsevier, vol. 33(4), pages 329-332, August. [Downloadable!] (restricted)
  14. 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. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Dennis Gaertner & Armin Schmutzler, 2006. "Merger Negotiations and Ex-Post Regret," Working Papers 0607, University of Zurich, Socioeconomic Institute, revised Dec 2007. [Downloadable!]
    Other versions:
  2. Stefan Boes & Markus Lipp & Rainer Winkelmann, 2005. "Money Illusion Under Test," Working Papers 0514, University of Zurich, Socioeconomic Institute. [Downloadable!]
    Other versions:
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