Bias in instrumental-variable estimators of fixed-effect models for count data

C-Tier
Journal: Economics Letters
Year: 2022
Volume: 212
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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).

Technical Details

RePEc Handle
repec:eee:ecolet:v:212:y:2022:i:c:s0165176522000258
Journal Field
General
Author Count
1
Added to Database
2026-01-25