Correlation in Bivariate Poisson Regression Model

18 Pages Posted: 13 Oct 2008

See all articles by William H. Greene

William H. Greene

New York University Stern School of Business

Date Written: May 2007

Abstract

We consider a bivariate Poisson model that is based on the lognormal heterogeneity model. Two recent applications have used this model. We suggest that the correlation estimated in their model frameworks is an ambiguous measure of the correlation of the variables of interest, and may substantially overstate it. We conclude with a detailed application of the proposed method using the data employed in one of the two aforementioned bivariate Poisson studies.

Keywords: Poisson regression., Heterogeneity, Lognormal, Bivariate Poisson, Simulation

Suggested Citation

Greene, William H., Correlation in Bivariate Poisson Regression Model (May 2007). NYU Working Paper No. 2451/26045, Available at SSRN: https://ssrn.com/abstract=1281927

William H. Greene (Contact Author)

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