Endogenous Treatment Effects for Count Data Models with Sample Selection or Endogenous Participation
AbstractIn this paper we propose a method to estimate models in which an endogenous dichotomous treatment affects a count outcome in the presence of either sample selection or endogenous participation using maximum simulated likelihood. We allow for the treatment to have an effect on both the sample selection or the participation rule and the main outcome. Applications of this model are frequent in many fields of economics, such as health, labor, and population economics. We show the performance of the model using data from Kenkel and Terza (2001), which investigates the effect of physician advice on the amount of alcohol consumption. Our estimates suggest that in these data (i) neglecting treatment endogeneity leads to a perversely signed effect of physician advice on drinking intensity, (ii) neglecting endogenous participation leads to an upward biased estimator of the treatment effect of physician advice on drinking intensity.
Download InfoIf 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.
Bibliographic InfoPaper provided by HEDG, c/o Department of Economics, University of York in its series Health, Econometrics and Data Group (HEDG) Working Papers with number 10/19.
Date of creation: Jul 2010
Date of revision:
Contact details of provider:
Postal: HEDG/HERC, Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/res/herc/research/hedg/
More information through EDIRC
count data; drinking; endogenous participation; maximum simulated likelihood; sample selection; treatment effects;
Other versions of this item:
- Massimiliano Bratti & Alfonso Miranda, 2010. "Endogenous Treatment Effects for Count Data Models with Sample Selection or Endogenous Participation," DoQSS Working Papers 10-05, Department of Quantitative Social Science - Institute of Education, University of London, revised 10 Dec 2010.
- Bratti, Massimiliano & Miranda, Alfonso, 2010. "Endogenous Treatment Effects for Count Data Models with Sample Selection or Endogenous Participation," IZA Discussion Papers 5372, Institute for the Study of Labor (IZA).
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- I12 - Health, Education, and Welfare - - Health - - - Health Production
- I21 - Health, Education, and Welfare - - Education - - - Analysis of Education
This paper has been announced in the following NEP Reports:
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.:
- 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.
- Frank Windmeijer & Joao Santos Silva, 1996. "Endogeneity in count data models; an application to demand for health care," IFS Working Papers W96/15, Institute for Fiscal Studies.
- Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
- Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
- Donald S. Kenkel & Joseph V. Terza, 2001. "The effect of physician advice on alcohol consumption: count regression with an endogenous treatment effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 165-184.
- William Greene, 2009. "Models for count data with endogenous participation," Empirical Economics, Springer, vol. 36(1), pages 133-173, February.
- Heckman, James J, 1978.
"Dummy Endogenous Variables in a Simultaneous Equation System,"
Econometric Society, vol. 46(4), pages 931-59, July.
- James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
- Cragg, John G, 1971. "Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods," Econometrica, Econometric Society, vol. 39(5), pages 829-44, September.
- Terza, Joseph V., 1998. "Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects," Journal of Econometrics, Elsevier, vol. 84(1), pages 129-154, May.
- Mullahy, John, 1998. "Much ado about two: reconsidering retransformation and the two-part model in health econometrics," Journal of Health Economics, Elsevier, vol. 17(3), pages 247-281, June.
- R. Winkelmann, 1998. "Count data models with selectivity," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 339-359.
- Alfonso Miranda, 2004.
"FIML estimation of an endogenous switching model for count data,"
StataCorp LP, vol. 4(1), pages 40-49, March.
- Alfonso Miranda Caso Luengo, 2003. "FIML estimation of an endogenous switching model for count data," United Kingdom Stata Users' Group Meetings 2003 07, Stata Users Group.
- Maria Melkersson & Dan-Olof Rooth, 2000. "Modeling female fertility using inflated count data models," Journal of Population Economics, Springer, vol. 13(2), pages 189-203.
- Heckman, James, 2013.
"Sample selection bias as a specification error,"
Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
- Adriaan S. Kalwij, 2000. "The effects of female employment status on the presence and number of children," Journal of Population Economics, Springer, vol. 13(2), pages 221-239.
- Mullahy, John, 1986. "Specification and testing of some modified count data models," Journal of Econometrics, Elsevier, vol. 33(3), pages 341-365, December.
- Alfonso Miranda & Sophia Rabe-Hesketh, 2006. "Maximum likelihood estimation of endogenous switching and sample selection models for binary, ordinal, and count variables," Stata Journal, StataCorp LP, vol. 6(3), pages 285-308, September.
- Andreas Million & Regina T. Riphahn & Achim Wambach, 2003. "Incentive effects in the demand for health care: a bivariate panel count data estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 387-405.
- Joseph V. Terza & Donald S. Kenkel & Tsui-Fang Lin & Shinichi Sakata, 2008. "Care-giver advice as a preventive measure for drinking during pregnancy: zeros, categorical outcome responses, and endogeneity," Health Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 41-54.
- Terza, Joseph V., 1985. "A Tobit-type estimator for the censored Poisson regression model," Economics Letters, Elsevier, vol. 18(4), pages 361-365.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jane Rawlings).
If references are entirely missing, you can add them using this form.