Correlation in the Bivariate Poisson Regression Model

Leonard N. Stern School of Business Paper No. ISSN 1547-3651

18 Pages Posted: 3 Jun 2007

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

JEL Classification: C14, C23, C25

Suggested Citation

Greene, William H., Correlation in the Bivariate Poisson Regression Model (May 2007). Leonard N. Stern School of Business Paper No. ISSN 1547-3651, Available at SSRN: https://ssrn.com/abstract=990011 or http://dx.doi.org/10.2139/ssrn.990011

William H. Greene (Contact Author)

New York University Stern School of Business ( email )

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