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A negative binomial model and moment conditions for count panel data

  • Yoshitsugu Kitazawa

    ()

    (Faculty of Economics, Kyushu Sangyo University)

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.

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File URL: http://www.ip.kyusan-u.ac.jp/keizai-kiyo/dp34.pdf
File Function: First version, 2009
Download Restriction: no

Paper provided by Kyushu Sangyo University, Faculty of Economics in its series Discussion Papers with number 34.

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Length: 27 pages
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:kyu:dpaper:34
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  1. Blundell, Richard & Griffith, Rachel & van Reenen, John, 1999. "Market Share, Market Value and Innovation in a Panel of British Manufacturing Firms," Review of Economic Studies, Wiley Blackwell, vol. 66(3), pages 529-54, July.
  2. 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.
  3. 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.
  4. 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.
  5. Yoshitsugu Kitazawa, 2009. "Equidispersion and moment conditions for count panel data model," Discussion Papers 33, Kyushu Sangyo University, Faculty of Economics.
  6. Frank Windmeijer, 2006. "GMM for panel count data models," Bristol Economics Discussion Papers 06/591, Department of Economics, University of Bristol, UK.
  7. repec:cup:cbooks:9780521848053 is not listed on IDEAS
  8. 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.
  9. 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.
  10. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  11. Lancaster, Tony, 2002. "Orthogonal Parameters and Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 69(3), pages 647-66, July.
  12. Windmeijer, Frank, 2000. "Moment conditions for fixed effects count data models with endogenous regressors," Economics Letters, Elsevier, vol. 68(1), pages 21-24, July.
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