Jochmans, Koen (2021) Bias In Instrumental-Variable Estimators Of Fixed-Effect Models For Count Data. TSE Working Paper, n. 21-1276, Toulouse, France

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Abstract

This note looks at the properties of instrumental-variable estimators of models for non-negative outcomes in the presence of individual effects. We show that fixed-effect versions of the estimators of Mullahy (1997) and Windmeijer and Santos Silva (1997) are inconsistent under conventional asymptotics, in general, and that inference based on them in long panels requires bias correction. Such corrections are derived and their effectiveness is investigated in numerical experiments. Consistent estimation in short panels is nonetheless possible in the setting underlying Mullahy’s (1997) approach using a differencing strategy along the lines of Wooldridge (1997) and Windmeijer (2000).

Item Type: Monograph (Working Paper)
Language: English
Date: 29 October 2021
Place of Publication: Toulouse, France
Uncontrolled Keywords: Count data, Bias, Fixed effects, Inconsistency, Instrumental variable, Multiplicative-error model, Poisson.
JEL Classification: C23 - Models with Panel Data
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 15 Dec 2021 09:07
Last Modified: 15 Dec 2021 09:07
OAI Identifier: oai:tse-fr.eu:126253
URI: https://publications.ut-capitole.fr/id/eprint/44100
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