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

João M.C. Santos Silva () and Silvana Tenreyro

CEP Discussion Papers from Centre for Economic Performance, LSE

Abstract: We extend the simulation results given in Santos-Silva and Tenreyro (2006, 'The Log ofGravity', The Review of Economics and Statistics, 88, pp.641-658) by considering datagenerated as a finite mixture of gamma variates. Data generated in this way can naturallyhave a large proportion of zeros and is fully compatible with constant elasticity models suchas the gravity equation. Our results confirm that the Poisson pseudo maximum likelihoodestimator is generally well behaved.

Keywords: Gravity equation; Heteroskedasticity; Jensens inequality (search for similar items in EconPapers)
JEL-codes: C13 C50 F10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2009-05
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Working Paper: Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:cep:cepdps:dp0933

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