An algorithm for the estimation of poisson regressions involving structural change |
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Authors: | Joseph V Terza A Ason Okoruwa |
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Institution: | 1. Department of Economics , University of Georgia , Athens, GA, 30602;2. Department of Real Estate and Legal Studies , University of Georgia , Athens, GA, 30602 |
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Abstract: | We consider the estimation of Poisson regression models in which structural variation in a subset of the parameters is permitted. It is noted that coventional estimation algorithms are likely to impose restrictions on the number of explanatory variables and the number of structural regimes. We propose an alternative algorithm that implements partitioned matrix inversion and thereby avoids restictions on the size of the model. The algorithm is applied to a model of shopping behavior Adjustments in the algorithm necessary for dealing with censored data are detailed. |
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Keywords: | Newton-Raphson optimization partitioned matrix inversion sample censoring |
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