Before revision: We expand on Santos Silva and Tenreyro (2010)'s observation that estimates from Poisson models are not guaranteed to exist by documenting necessary and sufficient conditions for the existence of estimates for a wide class of generalized linear models (GLMs).
After revision: We expand on Santos Silva and Tenreyro (2010)'s observation that estimates from Poisson models are not guaranteed to exist . However, while non-existence is a well-studied issue for binary choice models, it presents significant challenges for other models as well and is not as well-understood in more general settings. These challenges are only magnified for models that feature many fixed effects and other high-dimensional parameters. We address the current ambiguity surrounding this topic by studying the conditions that govern the existence of estimates for a wide class of generalized linear models (GLMs).