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Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator

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  • Clément Bosquet

    ()
    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - École des Hautes Études en Sciences Sociales (EHESS) - CNRS : UMR6579)

  • Hervé Boulhol

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, OCDE - Département des affaires économiques)

Abstract

Following Santos Silva and Tenreyro (2006), various studies have used the Poisson Pseudo-Maximum Likelihood to estimate gravity specifications of trade flows and non-count data models more generally. Some papers also report results based on the Negative Binomial estimator, which is more general and encompasses the Poisson assumption as a special case. This note shows that the Negative Binomial estimator is inappropriate when applied to a continuous dependent variable which unit choice is arbitrary, because estimates artificially depend on that choice.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00544129.

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Date of creation: Nov 2010
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Handle: RePEc:hal:cesptp:halshs-00544129

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Keywords: Pseudo-maximum likelihood methods; negative binomial estimator; Poisson regression; gamma PML.;

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  1. Santos Silva, Joao & Tenreyro, Silvana, 2005. "The Log of Gravity," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5311, C.E.P.R. Discussion Papers.
  2. Lionel Fontagne & Soledad Zignago, 2007. "A Re-evaluation of the Impact of Regional Agreements on Trade Patterns," Economie Internationale, CEPII research center, CEPII research center, issue 109, pages 31-51.
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Cited by:
  1. Harry Huizinga & Johannes Voget & Wolf Wagner, 2012. "International Taxation and Cross-Border Banking," Working Papers, Oxford University Centre for Business Taxation 1226, Oxford University Centre for Business Taxation.
  2. Damiaan Persyn & Wouter Torfs, 2013. "A gravity equation for commuting - with an application to estimating regional and language border effects in Belgium," ERSA conference papers ersa13p599, European Regional Science Association.
  3. Elizaveta Archanskaia & Guillaume Daudin, 2012. "Heterogeneity and the Distance Puzzle," Working Papers, DIAL (Développement, Institutions et Mondialisation) DT/2012/09, DIAL (Développement, Institutions et Mondialisation).
  4. Prehn, Soren & Brummer, Bernhard & Glauben, Thomas, 2012. "Structural Gravity Estimation & Agriculture," 2012: New Rules of Trade?, December 2012, San Diego, California, International Agricultural Trade Research Consortium 142765, International Agricultural Trade Research Consortium.
  5. Prehn, Sören & Brümmer, Bernhard & Glauben, Thomas, 2012. "Structural gravity estimation & agriculture," DARE Discussion Papers, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE) 1209, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
  6. Shingal, Anirudh, 2013. ""New" econometric evidence for the Baldwin-Richardson (1972)/Miyagiwa (1991) theoretical predictions in government procurement," MPRA Paper 49138, University Library of Munich, Germany.
  7. Cooke, Edgar F A, 2011. "The impact of trade preferences on exports of developing countries: the case of the AGOA and CBI preferences of the USA," MPRA Paper 31439, University Library of Munich, Germany.

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