Arbeitspapier
GMM for panel count data models
This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are central. Moment conditions are discussed for these type of problems that enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are known to have poor finite sample behaviour, alternative test procedures that have recently been proposed in the literature are evaluated by means of a Monte Carlo study.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP21/06
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
GMM , Exponential Models , Hypothesis Testing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Windmeijer, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2006
- DOI
-
doi:10.1920/wp.cem.2006.2106
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Windmeijer, Frank
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2006
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