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.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP21/06
- Classification
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
-
GMM , Exponential Models , Hypothesis Testing
- Event
-
Geistige Schöpfung
- (who)
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Windmeijer, Frank
- Event
-
Veröffentlichung
- (who)
-
Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2006
- DOI
-
doi:10.1920/wp.cem.2006.2106
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Windmeijer, Frank
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2006
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