Estimating count data models with endogenous switching: sample selection and endogenous treatment effects

DOI10.1016/S0304-4076(97)00082-1MaRDI QIDQ1379918zbMATH OpenFDO

Authors Joseph V. Terza

Publication date 1998

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4076(97)00082-1

zbMATH Keywords

Endogenous switchingMethod of moments estimationNonlinear weighted least squaresPoisson regressionTwo-stage estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Review text

Count data regression models are extended to account for endogenous switching and its two most common incarnations, viz., endogenous dummy variables (treatment effects) and sample selection. Fully parametric and partially parametric versions of the extended model are discussed. In the parametric version of the model, a full information maximum likelihood (FIML) approach to estimation is introduced. Under the correct model specification the FIML estimator is efficient but computationally burdensome. For the relatively robust partially parametric version of the model I develop a two-stage method of moments (TSM) estimator. The TSM estimator is a nonlinear least-squares analog to the popular Heckman (1976, 1979) estimator and therefore avoids the computational requirements of FIML estimation. A nonlinear weighted least-squares (NWLS) estimator is offered for the fully parametric case. The NWLS estimator is computationally efficient relative to FIML estimation, and statistically efficient relative to the TSM estimator. For illustrative purposes the TSM and NWLS estimators are applied to the estimation of a regression model with household trip frequency as the dependent variable and a potentially endogenous dummy variable indicating vehicle ownership among the regressors.

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Cites work

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• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
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Cited in

(28)

• Dealing with the common econometric problems of count data with excess zeros, endogenous treatment effects, and attrition bias
• Semi-parametric copula sample selection models for count responses
• Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: An application to the demand for healthcare
• A penalized likelihood estimation approach to semiparametric sample selection binary response modeling
• Testing exogeneity of multinomial regressors in count data models: does two-stage residual inclusion work?
• Sample selection models for discrete and other non-Gaussian response variables
• Multiplicative-error models with sample selection
• A flexible parametric approach for estimating switching regime models and treatment effect parameters
• Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables
• Properties of estimators of count data model with endogenous switching
• A control function approach to estimating switching regression models with endogenous explanatory variables and endogenous switching
• Exogeneity in structural equation models
• Parametric Nonlinear Regression with Endogenous Switching
• Estimating a fractional response model with a count endogenous regressor and an application to female labor supply
• Estimation of a regression spline sample selection model
• Simple tests for exogeneity of a binary explanatory variable in count data regression models
• Count data models with selectivity
• Hurdles and steps: estimating demand for solar photovoltaics
• A BAYESIAN ANALYSIS OF ENDOGENOUS SWITCHING MODELS FOR COUNT DATA
• Self-selection and direct estimation of across-regime correlation parameter
• Specification and simulated likelihood estimation of a non‐normal treatment‐outcome model with selection: Application to health care utilization
• Counts with an endogenous binary regressor: A series expansion approach
• Using instruments for selection to adjust for selection bias in Mendelian randomization
• Intercept estimation in nonlinear selection models
• An approach to addressing selection bias in survival analysis
• Sample selection models for count data in R
• A Poisson mixture model of discrete choice
• The MCMC and SML estimation of a self-selection model with two outcomes

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