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Re: st: IV estimation in a negative binomial framework


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV estimation in a negative binomial framework
Date   Wed, 10 Aug 2011 10:51:05 -0400

Arka Roy Chaudhuri <gabuisi@gmail.com>
-glm- with a log link does not need an assumption that the conditional
variance is equal to the conditional mean to be consistent, nor does
its IV analog.  See -ivpois- on SSC and
http://www.stata.com/meeting/boston10/boston10_nichols.pdf

On Tue, Aug 9, 2011 at 5:03 PM, Arka Roy Chaudhuri <gabuisi@gmail.com> wrote:
> Hi,
>
>
> I am analyzing a model where my dependent variable is a count
> variable, specifically the number of riot cases in a district. Since
> the variance of the dependent variable is quite high compared to the
> mean I plan to use the negative binomial distribution. However my
> independent variable is endogenous and I would like to use a
> instrument variable analysis. Unfortunately I have been unsuccessful
> in finding any program which implements IV in a negative binomial
> context. Could somebody please advice me how to implement IV
> estimation in a negative binomial framework? I would really appreciate
> any help in this regard.
>
> Thanks,
> Arka
>
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