Conditional GMM estimation for gravity models

Masaya Nishihat and Taisuke Otsu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper studies finite sample performances of the conditional GMM es- timators for a particular conditional moment restriction model, which is commonly ap- plied in economic analysis using gravity models of international trade. We consider the GMM estimator with growing moments and Dominguez and Lobato’s (2004) process- based GMM estimator. Under the simulation designs by Santos Silva and Tenreyro (2006, 2011), we find that Dominguez and Lobato’s (2004) estimator is favorably com- parable with the Poisson pseudo maximum likelihood estimator, and outperforms other estimators.

JEL-codes: J1 (search for similar items in EconPapers)
Date: 2020-04-29
New Economics Papers: this item is included in nep-ecm and nep-ore
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Published in Economics Bulletin, 29, April, 2020, 40(2), pp. 1106 - 1111. ISSN: 1545-2921

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