FIML estimation of an endogenous switching model for count data
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This paper presents code for fitting a FIML endogenous switching Poisson count model for cross-sectional data in Stata 7: the espoisson command. The Poisson process depends on an unobserved heterogeneity term, ε; a set of explanatory variables, x; and an endogenous dummy, d. The endogenous dummy depends on an unobserved random term, v. Correlation between ε and v is allowed. If a model with exogenous d is fitted instead, correlation between ε and v will result in simultaneous equation bias. The endogenous switching model corrects this problem. After describing the underlying econometric theory behind the command, an example is discussed.