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

Joao M.C. Santos Silva and Rainer Winkelmann
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Joao M.C. Santos Silva: University of Surrey
Rainer Winkelmann: University of Zurich

No 124, School of Economics Discussion Papers from School of Economics, University of Surrey

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.

JEL-codes: C13 C21 C25 C51 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2024-02
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:0124

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