Endogenous Treatment Effects for Count Data Models with Sample Selection or Endogenous Participation
In this paper we propose a method to estimate models in which an endogenous dichotomous treatment affects a count outcome in the presence of either sample selection or endogenous participation using maximum simulated likelihood. We allow for the treatment to have an effect on both the sample selection or the participation rule and the main outcome. Applications of this model are frequent in many fields of economics, such as health, labor, and population economics. We show the performance of the model using data from Kenkel and Terza (2001), which investigates the effect of physician advice on the amount of alcohol consumption. Our estimates suggest that in these data (i) neglecting treatment endogeneity leads to a perversely signed effect of physician advice on drinking intensity, (ii) neglecting endogenous participation leads to an upward biased estimator of the treatment effect of physician advice on drinking intensity.
|Date of creation:||Jul 2010|
|Date of revision:|
|Contact details of provider:|| Postal: HEDG/HERC, Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom|
Phone: (0)1904 323776
Fax: (0)1904 323759
Web page: http://www.york.ac.uk/economics/postgrad/herc/hedg/
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.:
- Adriaan S. Kalwij, 2000. "The effects of female employment status on the presence and number of children," Journal of Population Economics, Springer;European Society for Population Economics, vol. 13(2), pages 221-239.
- Frank Windmeijer & Joao Santos Silva, 1996.
"Endogeneity in count data models; an application to demand for health care,"
IFS Working Papers
W96/15, Institute for Fiscal Studies.
- Windmeijer, F A G & Silva, J M C Santos, 1997. "Endogeneity in Count Data Models: An Application to Demand for Health Care," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(3), pages 281-94, May-June.
- Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
- Terza, Joseph V., 1985. "A Tobit-type estimator for the censored Poisson regression model," Economics Letters, Elsevier, vol. 18(4), pages 361-365.
- Gary Chamberlain, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 225-238.
- Terza, Joseph V., 1998. "Estimating count data models with endogenous switching: Sample selection and endogenous treatment effects," Journal of Econometrics, Elsevier, vol. 84(1), pages 129-154, May.
- Alfonso Miranda Caso Luengo, 2003.
"FIML estimation of an endogenous switching model for count data,"
United Kingdom Stata Users' Group Meetings 2003
07, Stata Users Group.
- Alfonso Miranda, 2004. "FIML estimation of an endogenous switching model for count data," Stata Journal, StataCorp LP, vol. 4(1), pages 40-49, March.
- Heckman, James J, 1978.
"Dummy Endogenous Variables in a Simultaneous Equation System,"
Econometric Society, vol. 46(4), pages 931-59, July.
- James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
- Cragg, John G, 1971. "Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods," Econometrica, Econometric Society, vol. 39(5), pages 829-44, September.
- Donald S. Kenkel & Joseph V. Terza, 2001. "The effect of physician advice on alcohol consumption: count regression with an endogenous treatment effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 165-184.
- Heckman, James J, 1979.
"Sample Selection Bias as a Specification Error,"
Econometric Society, vol. 47(1), pages 153-61, January.
- William Greene, 2009. "Models for count data with endogenous participation," Empirical Economics, Springer, vol. 36(1), pages 133-173, February.
- Joseph V. Terza & Donald S. Kenkel & Tsui-Fang Lin & Shinichi Sakata, 2008. "Care-giver advice as a preventive measure for drinking during pregnancy: zeros, categorical outcome responses, and endogeneity," Health Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 41-54.
- Mullahy, John, 1986. "Specification and testing of some modified count data models," Journal of Econometrics, Elsevier, vol. 33(3), pages 341-365, December.
- R. Winkelmann, 1998. "Count data models with selectivity," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 339-359.
- Andreas Million & Regina T. Riphahn & Achim Wambach, 2003. "Incentive effects in the demand for health care: a bivariate panel count data estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 387-405.
- Maria Melkersson & Dan-Olof Rooth, 2000. "Modeling female fertility using inflated count data models," Journal of Population Economics, Springer;European Society for Population Economics, vol. 13(2), pages 189-203.
- Alfonso Miranda & Sophia Rabe-Hesketh, 2006. "Maximum likelihood estimation of endogenous switching and sample selection models for binary, ordinal, and count variables," Stata Journal, StataCorp LP, vol. 6(3), pages 285-308, September.
- Mullahy, John, 1998. "Much ado about two: reconsidering retransformation and the two-part model in health econometrics," Journal of Health Economics, Elsevier, vol. 17(3), pages 247-281, June.
When requesting a correction, please mention this item's handle: RePEc:yor:hectdg:10/19. 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: (Jane Rawlings)
If references are entirely missing, you can add them using this form.