 Bias in instrumental-variable estimators of fixed-effect models for count dataEconomics Letters, 2022, vol. 212, issue C 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). Keywords: Count data; Bias; Fixed effects; Inconsistency; Instrumental variable; Multiplicative-error model; Poisson (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000258 DOI: 10.1016/j.econlet.2022.110318 Access Statistics for this article Economics Letters is currently edited by Economics Letters Editorial Office More articles in Economics Letters from Elsevier |
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