On the existence of the maximum likelihood estimates for Poisson regression
João Santos Silva () and
Silvana Tenreyro ()
LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library
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.
JEL-codes: F10 C50 C13 (search for similar items in EconPapers)
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Working Paper: On the Existence of the Maximum Likelihood Estimates for Poisson Regression (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:25504
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