Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79313
Authors: 
Windmeijer, Frank
Year of Publication: 
2006
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP21/06
Abstract: 
This paper gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are central. Moment conditions are discussed for these type of problems that enable estimation of the parameters by GMM. As standard Wald tests based on efficient two-step GMM estimation results are known to have poor finite sample behaviour, alternative test procedures that have recently been proposed in the literature are evaluated by means of a Monte Carlo study.
Subjects: 
GMM , Exponential Models , Hypothesis Testing
JEL: 
C12
C13
C23
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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