On the existence of the maximum likelihood estimates for Poisson regression

Santos Silva, Joao and Tenreyro, Silvana ORCID: 0000-0002-9816-7452 (2009) On the existence of the maximum likelihood estimates for Poisson regression. CEP Discussion Papers (932). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

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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.

Item Type:	Monograph (Discussion Paper)
Official URL:	http://cep.lse.ac.uk/_new/publications/series.asp?...
Additional Information:	© 2009 the authors
Divisions:	Centre for Economic Performance Economics
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	F - International Economics > F1 - Trade > F10 - General C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
Date Deposited:	14 Oct 2009 11:49
Last Modified:	01 Nov 2024 04:53
URI:	http://eprints.lse.ac.uk/id/eprint/25504

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