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Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator

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  • Santos Silva, Joao
  • Tenreyro, Silvana

Abstract

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.

Suggested Citation

  • Santos Silva, Joao & Tenreyro, Silvana, 2009. "Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator," LSE Research Online Documents on Economics 25506, London School of Economics and Political Science, LSE Library.
  • Handle: RePEc:ehl:lserod:25506
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    References listed on IDEAS

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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 701-720, May.
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    6. Martínez-Zarzoso, Inmaculada & Nowak-Lehmann D., Felicitas & Vollmer, Sebastian, 2007. "The log of gravity revisited," University of Göttingen Working Papers in Economics 64, University of Goettingen, Department of Economics.
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    More about this item

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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