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Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach

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  • Stefan Boes

    () (Socioeconomic Institute, University of Zurich)

Abstract

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Using a specific residual function and suitable instruments, a consistent generalized method of moments estimator can be obtained under conditional moment restrictions. This approach is extended here by fully exploiting the model assumptions and thereby improving efficiency of the resulting estimator. Empirical likelihood estimation in particular has favorable properties in this setting compared to the two-step GMM procedure, which is demonstrated in a Monte Carlo experiment. The proposed method is applied to the estimation of a cigarette demand function.

Suggested Citation

  • Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
  • Handle: RePEc:soz:wpaper:0704
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    File URL: http://www.econ.uzh.ch/static/wp_soi/wp0704.pdf
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    References listed on IDEAS

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    Cited by:

    1. Ilja Neustadt & Peter Zweifel, 2009. "Economic Well-Being, Social Mobility, and Preferences for Income Redistribution: Evidence from a Discrete Choice Experiment," SOI - Working Papers 0909, Socioeconomic Institute - University of Zurich, revised Jan 2010.
    2. Donja Darai & Dario Sacco & Armin Schmutzler, 2010. "Competition and innovation: an experimental investigation," Experimental Economics, Springer;Economic Science Association, vol. 13(4), pages 439-460, December.
    3. Dennis L. Gärtner, 2010. "Monopolistic screening under learning by doing," RAND Journal of Economics, RAND Corporation, vol. 41(3), pages 574-597.
    4. Lalive, Rafael & Schmutzler, Armin, 2008. "Exploring the effects of competition for railway markets," International Journal of Industrial Organization, Elsevier, vol. 26(2), pages 443-458, March.
    5. Stefan Boes, 2013. "Nonparametric analysis of treatment effects in ordered response models," Empirical Economics, Springer, vol. 44(1), pages 81-109, February.
    6. Johannes Schoder & Peter Zweifel, 2008. "Managed Care Konzepte und L�sungsans�tze� Ein internationaler Vergleich aus schweizerischer Sicht," SOI - Working Papers 0801, Socioeconomic Institute - University of Zurich.
    7. Helga Fehr-Duda & Adrian Bruhin & Thomas Epper & Renate Schubert, 2010. "Rationality on the rise: Why relative risk aversion increases with stake size," Journal of Risk and Uncertainty, Springer, vol. 40(2), pages 147-180, April.
    8. Lukas Steinmann & Harry Telser & Peter Zweifel, 2005. "The Impact of Aging on Future Healthcare Expenditure," SOI - Working Papers 0510, Socioeconomic Institute - University of Zurich, revised Dec 2006.
    9. Falkinger, Josef, 2008. "Between Agora and Shopping Mall," IZA Discussion Papers 3524, Institute for the Study of Labor (IZA).
    10. Halbheer, Daniel & Fehr, Ernst & Goette, Lorenz & Schmutzler, Armin, 2009. "Self-reinforcing market dominance," Games and Economic Behavior, Elsevier, vol. 67(2), pages 481-502, November.
    11. Dennis Gaertner, 2007. "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," SOI - Working Papers 0719, Socioeconomic Institute - University of Zurich.
    12. Dario Sacco & Armin Schmutzler, 2008. "All-Pay Auctions with Negative Prize Externalities: Theory and Experimental Evidence," SOI - Working Papers 0806, Socioeconomic Institute - University of Zurich.
    13. Adrian Bruhin, 2008. "Stochastic Expected Utility and Prospect Theory in a Horse Race: A Finite Mixture Approach," SOI - Working Papers 0803, Socioeconomic Institute - University of Zurich.
    14. Sandra Hanslin, 2008. "The effect of trade openness on optimal government size under endogenous firm entry," SOI - Working Papers 0802, Socioeconomic Institute - University of Zurich.
    15. Maurus Rischatsch, 2009. "Simulating WTP Values from Random-Coefficient Models," SOI - Working Papers 0912, Socioeconomic Institute - University of Zurich.
    16. Maurus Rischatsch & Maria Trottmann, 2009. "Physician dispensing and the choice between generic and brand-name drugs – Do margins affect choice?," SOI - Working Papers 0911, Socioeconomic Institute - University of Zurich.

    More about this item

    Keywords

    nonparametric likelihood; poisson model; nonlinear instrumental variables; optimal instruments; approximating functions; semiparametric efficiency;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

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