A Zero-inflated Negative Binomial Regression Model with Hidden Markov Chain

Peiming Wang and (Nanyang Technological University

No 644, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper proposes a regression model for analysis of panel count data with the presence of excess zeros relative to a negative binomial distribution, in which the frequency distribution of counts changes according to an underlying two-state Markov chain. Features of the proposed model and estimation method are discussed. An application to the analysis of foreign direct investments in the United States by Japanese firms is given

Keywords: Negative binomial distribution; Panel count data with excess zeros; Markov chain (search for similar items in EconPapers)
JEL-codes: C33 F21 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:644

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