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

Santos Silva, Joao and Tenreyro, Silvana (2009) Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator. CEP Discussion Papers, 933. Centre for Economic Performance, London School of Economics and Political Science, London, UK.

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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 (Discussion Paper)
Official URL: http://cep.lse.ac.uk/_new/publications/series.asp?...
Additional Information: © 2009 the authors
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: F - International Economics > F1 - Trade > F10 - General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
Sets: Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Departments > Economics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 933
Date Deposited: 14 Oct 2009 11:46
URL: http://eprints.lse.ac.uk/25506/

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