Bias In Instrumental-Variable Estimators Of Fixed-Effect Models For Count Data

Koen Jochmans

No 21-1276, TSE Working Papers from Toulouse School of Economics (TSE)

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)
JEL-codes: C23 C26 (search for similar items in EconPapers)
Date: 2021-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Bias in instrumental-variable estimators of fixed-effect models for count data (2022)
Working Paper: Bias in instrumental-variable estimators of fixed-effect models for count data (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:126253

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