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On the Existence of the Maximum Likelihood Estimates for Poisson Regression

João Santos Silva () and Silvana Tenreyro ()

CEP Discussion Papers from Centre for Economic Performance, LSE

Abstract: We note that the existence of the maximum likelihood estimates for Poisson regression depends on the data configuration. Because standard software does not check for this problem, the practitioner may be surprised to find that in some applications estimation of the Poisson regression is unusually difficult or even impossible. More seriously, the estimation algorithm may lead to spurious maximum likelihood estimates. We identify the signs of the non-existence of the maximum likelihood estimates and propose a simple empirical strategy to single out the regressors causing this type of identification failure.

Keywords: Poisson estimation; gravity equation (search for similar items in EconPapers)
JEL-codes: C13 C50 F10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2009-05
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Working Paper: On the existence of the maximum likelihood estimates for Poisson regression (2009) Downloads
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