Conditional GMM estimation for gravity models

Masaya Nishihata and Taisuke Otsu (t.otsu@lse.ac.uk)
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Taisuke Otsu: London School of Economics and Keio Economic Observatory

Economics Bulletin, 2020, vol. 40, issue 2, 1106-1111

Abstract: This paper studies finite sample performances of the conditional GMM estimators for a particular conditional moment restriction model, which is commonly applied 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 comparable with the Poisson pseudo maximum likelihood estimator, and outperforms other estimators.

Keywords: GMM; Gravity model; Conditional moment restriction (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2020-04-29
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