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MisspecifiÂ…ed Exponential Regressions: Estimation, Interpretation, and Average Marginal Effects

Author

Listed:
  • Joao M.C. Santos Silva

    (University of Surrey)

  • Rainer Winkelmann

    (University of Zurich)

Abstract

Exponential regressions are frequently used when outcomes are non-negative. They are attractive because they are easy to interpret and to estimate, using pseudo maximum likelihood (PML). However, the validity of these methods depends on the correct specification of the conditional expectation, and little is known regarding their properties when the conditional expectation is misspecified. We show that PML estimators of misspecified exponential models provide optimal approximations to the conditional expectation, in a weighted mean squared error sense, and we give conditions under which their Poisson PML estimator identifies average marginal effects.

Suggested Citation

  • Joao M.C. Santos Silva & Rainer Winkelmann, 2024. "MisspecifiÂ…ed Exponential Regressions: Estimation, Interpretation, and Average Marginal Effects," School of Economics Discussion Papers 0124, School of Economics, University of Surrey.
    • Handle: RePEc:sur:surrec:0124
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    File URL: https://repec.som.surrey.ac.uk/2024/DP01-24.pdf
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    References listed on IDEAS

    as
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    More about this item

    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
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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