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Poisson Regression with Instrumental Variables

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Poisson Regression with Instrumental Variables

Hello SAS community,

My dependent variable is a positive integer that I am modeling with Poisson regression.  I have two instrumental variables that I need to incorporate into my model as well. I am not sure how to proceed with this. I know that proc qlim allows for IV analysis but I have only seen examples using logistic regression.  This procedure doesn't work for Poisson, correct?  Do I need to use non-linear two stage least squares regression to incorporate these instruments?

Thank you.

Respected Advisor
Posts: 2,655

Re: Poisson Regression with Instrumental Variables

Posted in reply to blackmetal

Not a solution (but it could be with some work), but it appears that PROC MODEL will handle a Poisson distributed dependent variable, and implements a non-linear two stage LS regression to do so.  QLIM looks to be restricted to qualitative responses of various sorts.

Steve Denham

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