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

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  • Santos Silva, Joao M C
  • 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, 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 M C & Tenreyro, Silvana, 2009. "Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator," Economics Discussion Papers 3546, University of Essex, Department of Economics.
  • Handle: RePEc:esx:essedp:3546
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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.
    2. Dr Alex Bryson, 2009. "Employee Voice and Private Sector Workplace Outcomes in Britain, 1980-2004," National Institute of Economic and Social Research (NIESR) Discussion Papers 329, National Institute of Economic and Social Research.
    3. Eaton Jonathan & Tamura Akiko, 1994. "Bilateralism and Regionalism in Japanese and U.S. Trade and Direct Foreign Investment Patterns," Journal of the Japanese and International Economies, Elsevier, pages 478-510.
    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.
    5. 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, November.
    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. Manning, Willard G. & Mullahy, John, 2001. "Estimating log models: to transform or not to transform?," Journal of Health Economics, Elsevier, vol. 20(4), pages 461-494, July.
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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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