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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 of gravity,” The Review of Economics and Statistics, 88, 641-658) by considering data generated as a finite mixture of gamma variates. Data generated in this way can naturally have a large proportion of zeros and is fully compatible with constant elasticity models such as the gravity equation. Our results confirm that the Poisson pseudo maximum likelihood estimator is generally well behaved.

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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 666.

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Date of creation: 02 Mar 2009
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Handle: RePEc:esx:essedp:666

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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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