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

Author

Listed:
  • Clément Bosquet

    (GREQAM - Université Aix-Marseille)

  • Hervé Boulhol

    (OCDE et Centre d'Economie de la Sorbonne)

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

Suggested Citation

  • Clément Bosquet & Hervé Boulhol, 2010. "Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator," Documents de travail du Centre d'Economie de la Sorbonne 10092, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Handle: RePEc:mse:cesdoc:10092
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Pseudo-maximum likelihood methods; negative binomial estimator; Poisson regression; gamma PML;
    All these keywords.

    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

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