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st: RE: Estimating Endogenous Negative Binomial Models.


From   "Corey Phelps" <[email protected]>
To   <[email protected]>
Subject   st: RE: Estimating Endogenous Negative Binomial Models.
Date   Sun, 20 Jan 2008 12:16:33 -0800

Ippab,

You may want to try using ExpEnd:
http://cemmap.ifs.org.uk/wps/cwp0214.pdf

ExpEnd models for dynamic count panel data using nonlinear GMM and can
accommodate endogenous regressors and lagged DVs (see Windmeijer, 2002).

You should also look at:

Windmeijer, F. 2007. GMM for panel count data models. Forthcoming in M.
Laszlo & P. Sevestre (Eds.), The econometrics of panel data: Fundamental and
recent developments in theory. Springer Verlag.

I believe you can obtain a copy from Frank Windmeijer's website.

Hope this helps.

Corey

Corey Phelps, PhD
Asst. Professor, Management & Organization
Neal & Jan Dempsey Faculty Fellow
Michael G. Foster School of Business
University of Washington
Box 353200
Seattle, WA 98195
(206) 543-6579
www.coreyphelps.com
 

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of ippab ippab
> Sent: Sunday, January 20, 2008 11:55 AM
> To: [email protected]
> Subject: st: Estimating Endogenous Negative Binomial Models.
> 
> Dear All,
> 
> I have a dataset with counts as dependent variable that suffers from
> severe over-dispersion problem.  As a result, I need to use the
> Negative Binomial model.  Since I have an endogenous variable, I need
> to estimate the coefficients using an instrument.
> 
> Is there any program that helps to estimate negative binomial model
> using an instrument?
> 
> I have found that IVPOIS addresses this issue of estimating
> coefficients using instruments for Poisson model.  Can someone help me
> to modify the original code for IVPOIS for negative binomial models?
> I would really appreciate if you can point me to a program that
> addresses this issue.
> 
> Thanks in advance!
> 
> 
> Regards,
> 
> ippab
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