I watched Birdman last night. The gimmick is pretty cool. The story would have been a bit bland without it. I have read that the ending was vague to some, but I thought it was obvious what happened.
I think he died on stage. The reason is the editing choices. The entire movie is presented as one continuous piece. There are no visible edits, just as there are none in life. There is only one visible cut in the entire movie: the one right after the gunshot on stage. Everything after is a death dream.