FIML estimation of an endogenous switching model for count data
Alfonso Miranda
Economics Department
University of Warwick
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Abstract. This paper presents code for fitting a FIML endogenous switching Poisson
count model for cross-sectional data in Stata 7: the espoisson command. The
Poisson process depends on an unobserved heterogeneity term,
ε; a set of explanatory variables, x; and an
endogenous dummy, d. The endogenous dummy depends on an unobserved
random term, v. Correlation between ε and v is
allowed. If a model with exogenous d is fitted instead, correlation
between ε and v will result in simultaneous equation
bias. The endogenous switching model corrects this problem. After
describing the underlying econometric theory behind the command, an example
is discussed.
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Alfonso Miranda
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count models, endogenous switch, sample selection
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