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Consistency of the fixed effects Poisson estimator with multiplicative measurement error and unbalanced panels

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  • Hoang, Trang
  • Wooldridge, Jeffrey M.

Abstract

We study the asymptotic properties of the popular fixed effects Poisson (FEP) estimator in two scenarios important for empirical research. First, we allow for multiplicative measurement error and characterize when the FEP estimator consistently estimates the parameters. Second, we allow for unbalanced panels and characterize when the estimator is consistent under the complete cases. We propose simple tests to determine whether selection is systematically related to unobserved time-varying shocks, which can cause the FEP estimator to be inconsistent. A simulation shows that the predictions of the theoretical findings hold in reasonable sample sizes.

Suggested Citation

  • Hoang, Trang & Wooldridge, Jeffrey M., 2024. "Consistency of the fixed effects Poisson estimator with multiplicative measurement error and unbalanced panels," Economics Letters, Elsevier, vol. 234(C).
    • Handle: RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004627
    DOI: 10.1016/j.econlet.2023.111436
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    References listed on IDEAS

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    1. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
    2. Verbeek, Marno & Nijman, Theo, 1992. "Testing for Selectivity Bias in Panel Data Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 681-703, August.
    3. Nicholas Brown & Jeffrey Wooldridge, 2023. "More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation," Working Paper 1497, Economics Department, Queen's University.
    4. Paul Contoyannis & Andrew M. Jones & Nigel Rice, 2004. "The dynamics of health in the British Household Panel Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(4), pages 473-503.
    5. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, April.
    6. 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.
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    More about this item

    Keywords

    Fixed effects Poisson estimator; Measurement error; Sample selection; Unbalanced panel;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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