Jochmans, Koen (2022) Bias In Instrumental-Variable Estimators Of Fixed-Effect Models For Count Data. Economics Letters, vol.212 (n°110318).

Full text not available from this repository.
Identification Number : 10.1016/j.econlet.2022.110318


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: Article
Language: English
Date: March 2022
Refereed: Yes
Place of Publication: Amsterdam
Uncontrolled Keywords: Count data, Bias, Fixed effects, Inconsistency, Instrumental variable, Multiplicative-error model, Poisson.
JEL Classification: C23 - Models with Panel Data
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 13 Sep 2022 14:40
Last Modified: 13 Sep 2022 14:40
OAI Identifier:
View Item