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Further Simulation Evidence on the Performance of the Poisson Pseudo-Maximum Likelihood Estimator

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J. M. C. Santos Silva
Silvana Tenreyro

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Abstract

We extend the simulation results given in Santos-Silva and Tenreyro (2006, 'The Log ofGravity', The Review of Economics and Statistics, 88, pp.641-658) by considering datagenerated as a finite mixture of gamma variates. Data generated in this way can naturallyhave a large proportion of zeros and is fully compatible with constant elasticity models suchas the gravity equation. Our results confirm that the Poisson pseudo maximum likelihoodestimator is generally well behaved.

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Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number dp0933.

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Date of creation: May 2009
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Handle: RePEc:cep:cepdps:dp0933

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Related research
Keywords: Gravity equation; Heteroskedasticity; Jensens inequality;

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
F10 - International Economics - - Trade - - - General

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  1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May. [Downloadable!] (restricted)
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  2. Martin, Will & Pham, Cong S., 2008. "Estimating the Gravity Equation when Zero Trade Flows are Frequent," MPRA Paper 9453, University Library of Munich, Germany. [Downloadable!]
  3. J. M. C. Santos Silva & Silvana Tenreyro, 2006. "The Log of Gravity," The Review of Economics and Statistics, MIT Press, vol. 88(4), pages 641-658, 09. [Downloadable!] (restricted)
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