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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