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On the existence of the maximum likelihood estimates for Poisson regression

  • Joao Santos Silva
  • Silvana Tenreyro

We note that the existence of the maximum likelihood estimates for Poisson regression depends on the data configuration. Because standard software does not check for this problem, the practitioner may be surprised to find that in some applications estimation of the Poisson regression is unusually difficult or even impossible. More seriously, the estimation algorithm may lead to spurious maximum likelihood estimates. We identify the signs of the non-existence of the maximum likelihood estimates and propose a simple empirical strategy to single out the regressors causing this type of identification failure.

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Paper provided by London School of Economics and Political Science, LSE Library in its series LSE Research Online Documents on Economics with number 25504.

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Length: 6 pages
Date of creation: May 2009
Date of revision:
Handle: RePEc:ehl:lserod:25504
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  1. 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.
  2. 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.
  3. Alex Bryson & Rafael Gomez & Tobias Kretschmer & P. Willman, 2009. "Employee voice and private sector workplace outcomes in Britain, 1980-2004," LSE Research Online Documents on Economics 51585, London School of Economics and Political Science, LSE Library.
  4. Manning, Willard G. & Mullahy, John, 2001. "Estimating log models: to transform or not to transform?," Journal of Health Economics, Elsevier, vol. 20(4), pages 461-494, July.
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