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Count Data Models With Variance Of Unknown Form: An Application To A Hedonic Model Of Worker Absenteeism

  • Miguel A. Delgado
  • Thomas J. Kniesner

We examine an econometric model of counts of worker absences due to illness in a sluggishly adjusting hedonic labor market. We compare three estimators that parameterize the conditional variance--least squares, Poisson, and negative binomial pseudo maximum likelihood--to generalized least squares (GLS) using nonparametric estimates of the conditional variance. Our data support the hedonic absenteeism model. Semiparametric GLS coefficients are similar in sign, magnitude, and statistical significance to coefficients where the mean and variance of the errors are specified ex ante. In our data, coefficient estimates are sensitive to a regressor list but not to the econometric technique, including correcting for possible heteroskedasticity of unknown form. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

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File URL: http://www.mitpressjournals.org/doi/pdf/10.1162/003465397556520
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Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 79 (1997)
Issue (Month): 1 (February)
Pages: 41-49

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Handle: RePEc:tpr:restat:v:79:y:1997:i:1:p:41-49
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  1. A. C. Cameron & P. K. Trivedi & Frank Milne & J. Piggott, 1988. "A Microeconometric Model of the Demand for Health Care and Health Insurance in Australia," Review of Economic Studies, Oxford University Press, vol. 55(1), pages 85-106.
  2. Robinson, Peter M. & Delgado, Miguel A., 1992. "Nonparametric and semiparametric methods for economic research," UC3M Working papers. Economics 2827, Universidad Carlos III de Madrid. Departamento de Economía.
  3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  4. James N. Brown & Harvey S. Rosen, 1982. "On the Estimation of Structural Hedonic Price Models," NBER Technical Working Papers 0018, National Bureau of Economic Research, Inc.
  5. Delgado, Miguel A & Robinson, Peter M, 1992. " Nonparametric and Semiparametric Methods for Economic Research," Journal of Economic Surveys, Wiley Blackwell, vol. 6(3), pages 201-49.
  6. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  7. Allen, Steven G, 1981. "An Empirical Model of Work Attendance," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 77-87, February.
  8. White, Halbert, 1980. "Using Least Squares to Approximate Unknown Regression Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 149-70, February.
  9. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
  10. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  11. 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.
  12. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  13. Delgado, Miguel A., 1992. "Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model," Econometric Theory, Cambridge University Press, vol. 8(02), pages 203-222, June.
  14. 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.
  15. Epple, Dennis, 1987. "Hedonic Prices and Implicit Markets: Estimating Demand and Supply Functions for Differentiated Products," Journal of Political Economy, University of Chicago Press, vol. 95(1), pages 59-80, February.
  16. Cameron, A. Colin & Trivedi, Pravin K., 1990. "Regression-based tests for overdispersion in the Poisson model," Journal of Econometrics, Elsevier, vol. 46(3), pages 347-364, December.
  17. Kahn, Shulamit & Lang, Kevin, 1988. "Efficient Estimation of Structural Hedonic Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(1), pages 157-66, February.
  18. 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.
  19. Steven G. Allen, 1981. "Compensation, Safety, and Absenteeism: Evidence from the Paper Industry," ILR Review, Cornell University, ILR School, vol. 34(2), pages 207-218, January.
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