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Further Simulation Evidence on the Performance of the Poisson Pseudo-Maximum Likelihood Estimator

Santos Silva, Joao M C and Tenreyro, Silvana (2009) Further Simulation Evidence on the Performance of the Poisson Pseudo-Maximum Likelihood Estimator. Working Paper. Centre for Economic Performance, LSE, CEP Discussion Papers.

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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.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Gravity equation; Heteroskedasticity; Jensens inequality
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 11:15
Last Modified: 07 Aug 2012 11:15
URI: http://repository.essex.ac.uk/id/eprint/3545

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