Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator
AbstractFollowing 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 InfoPaper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 10092.
Length: 16 pages
Date of creation: Nov 2010
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Pseudo-maximum likelihood methods; negative binomial estimator; Poisson regression; gamma PML.;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- F10 - International Economics - - Trade - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
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