Dear Corey,
Thank you so much for sharing information about the ExpEnd. Please
correct me if I am wrong: the ExpEnd program seems to focus on Poisson
model, even the GMM estimator
(http://cemmap.ifs.org.uk/wps/cwp0214.pdf).
Is there anyway to use it for negative binomial models for cross-sectional data?
Thanks again.
Regards,
ippab
On Jan 20, 2008 3:16 PM, Corey Phelps <[email protected]> wrote:
> 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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> >
>
> *
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*
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