Applying the GLM Variance Assumption to Overcome the Scale-Dependence of the Negative Binomial QGPML Estimator
Clement Bosquet () and
Econometric Reviews, 2014, vol. 33, issue 7, 772-784
Recently, various studies have used the Poisson Pseudo-Maximal Likehood (PML) to estimate gravity specifications of trade flows and non-count data models more generally. Some papers also report results based on the Negative Binomial Quasi-Generalised Pseudo-Maximum Likelihood (NB QGPML) estimator, which encompasses the Poisson assumption as a special case. This note shows that the NB QGPML estimators that have been used so far are unappealing when applied to a continuous dependent variable which unit choice is arbitrary, because estimates artificially depend on that choice. A new NB QGPML estimator is introduced to overcome this shortcoming.
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Working Paper: Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:33:y:2014:i:7:p:772-784
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