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2010
- handle: 10670/1.gpmg2b
- halshs: halshs-00535594
info:eu-repo/semantics/OpenAccess
Mots-clés
pseudo-maximum likelihood methods negative binomial estimator Poisson regression gamma PML C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: GeneralSujets proches
Contracts and specifications Instruction and study--Methods Contracts and specifications Trade Commercial trade Foreign trade Statistical data Statistical analysis Statistical methods Statistical science Papers Philosophy--Methodology Supposition Assumption Earth (Planet)--Gravity Case Funds Funding Trade Trade Instruction and study--Methods Finance, commerce, confiscations, etc Estimates and costCiter ce document
Clément Bosquet et al., « Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator », HAL-SHS : économie et finance, ID : 10670/1.gpmg2b
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Résumé
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.