Finite sample properties of estimators and tests in poisson regression models
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Abstract
The paper deals with the small sample performance of estimators and tests in the overdispersed Poisson regression model. Maximum likelihood and semiparametric estimators and corresponding t-test statistics are compared in a Monte Carlo experiment. Three tests of overdispersion are evaluated. The results suggest that differences between estimators are small. The semiparametric estimator and the corresponding t-test perform well. Two of the studied overdispersion tests are found to have reasonable size properties. Extensions to limited dependent Poisson regression models are discussed.