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Exponential Panel Models with Coefficient Heterogeneity

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  • Robert S. Martin

Abstract

If heterogeneous slopes are ignored in exponential panel models, fixed effects Poisson may not estimate any quantity of interest. Existing estimation methods often involve treating only a small subset of the slopes as "random effects" and integrating from the likelihood, increasing computational difficulty. I propose a test to detect slope heterogeneity that, unlike the traditional approach, does not amount to testing for information matrix equality. Additionally, I present a correlated random coefficients approach to identification which allows for estimation of the coefficient means and average partial effects. I test these proposed methods using a Monte Carlo experiment and apply them to the patent-R&D relationship for U.S. manufacturing firms.

Suggested Citation

  • Robert S. Martin, 2018. "Exponential Panel Models with Coefficient Heterogeneity," Economic Working Papers 503, Bureau of Labor Statistics.
  • Handle: RePEc:bls:wpaper:503
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    File URL: https://www.bls.gov/osmr/research-papers/2018/pdf/ec180030.pdf
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