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

  • J. M. C. Santos Silva
  • Silvana Tenreyro

We extend the simulation results given in Santos-Silva and Tenreyro (2006, 'The Log of Gravity', The Review of Economics and Statistics, 88, pp.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 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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  1. Joao Santos Silva & Silvana Tenreyro, 2005. "The log of gravity," LSE Research Online Documents on Economics 3744, London School of Economics and Political Science, LSE Library.
  2. Willard G. Manning & John Mullahy, 1999. "Estimating Log Models: To Transform or Not to Transform?," NBER Technical Working Papers 0246, National Bureau of Economic Research, Inc.
  3. Dr Alex Bryson, 2009. "Employee Voice and Private Sector Workplace Outcomes in Britain, 1980-2004," NIESR Discussion Papers 329, National Institute of Economic and Social Research.
  4. Jeffrey A. Frankel, 1997. "Regional Trading Blocs in the World Economic System," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 72, January.
  5. Jonathan Eaton & Akilo Tamura, 1994. "Bilateralism and Regionalism in Japanese and U.S. Trade and Direct Foreign Investment Patterns," Boston University - Institute for Economic Development 48, Boston University, Institute for Economic Development.
  6. Martínez-Zarzoso, Inmaculada & Nowak-Lehmann D., Felicitas & Vollmer, Sebastian, 2007. "The log of gravity revisited," Center for European, Governance and Economic Development Research Discussion Papers 64, University of Goettingen, Department of Economics.
  7. 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.
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