Wednesday, March 08, 2006

RE: st: poisson

> -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of Austin Nichols > Sent: Wednesday, March 08, 2006 10:24 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: poisson > > > On the other hand, the fixed-effects poisson you have estimated > suffers from the incidental parameters problem--

Unlike other nonlinear estimators, the Poisson does not suffer from an incidental parameters problem. The estimates of the fixed effects will be consistent if time -> infinity. See Cameron and Trivedi 1998, "Regression Analysis of Count Data" p. 280-282.

Scott

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