A negative binomial model and moment conditions for count panel data
This paper proposes some moment conditions associated with an appropriate specification of negative binomial model for count panel data, which is proposed by Hausman et al. (1984). The newly proposed moment conditions enable researchers to conduct the consistent estimation of the model under much weaker assumptions than those configured by Hausman et al. (1984). In some Monte Carlo experiments, it is shown that the GMM estimators using the new moment conditions perform well in the DGP configurations conforming to the specification above.
|Date of creation:||Jun 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.ip.kyusan-u.ac.jp/keizai/
More information through EDIRC
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.:
- Frank Windmeijer, 2006.
"GMM for panel count data models,"
Bristol Economics Discussion Papers
06/591, Department of Economics, University of Bristol, UK.
- Richard Blundell & Rachel Griffith & John van Reenen, 1999. "Market Share, Market Value and Innovation in a Panel of British Manufacturing Firms," Review of Economic Studies, Oxford University Press, vol. 66(3), pages 529-554.
- Tony Lancaster, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Oxford University Press, vol. 69(3), pages 647-666.
- Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053.
- Crepon, Bruno & Duguet, Emmanuel, 1997. "Estimating the Innovation Function from Patent Numbers: GMM on Count Panel Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 243-63, May-June.
- Yoshitsugu Kitazawa, 2007. "Some additional moment conditions for a dynamic count panel data model," Discussion Papers 29, Kyushu Sangyo University, Faculty of Economics, revised Aug 2008.
- Richard Blundell & Rachel Griffith & Frank Windmeijer, 1999.
"Individual effects and dynamics in count data models,"
IFS Working Papers
W99/03, Institute for Fiscal Studies.
- Blundell, Richard & Griffith, Rachel & Windmeijer, Frank, 2002. "Individual effects and dynamics in count data models," Journal of Econometrics, Elsevier, vol. 108(1), pages 113-131, May.
- Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Windmeijer, Frank, 2000. "Moment conditions for fixed effects count data models with endogenous regressors," Economics Letters, Elsevier, vol. 68(1), pages 21-24, July.
- Yoshitsugu Kitazawa, 2009. "Equidispersion and moment conditions for count panel data model," Discussion Papers 33, Kyushu Sangyo University, Faculty of Economics.
When requesting a correction, please mention this item's handle: RePEc:kyu:dpaper:34. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yoshitsugu Kitazawa)
If references are entirely missing, you can add them using this form.