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Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator

Clement Bosquet () and Herve Boulhol

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Following Santos Silva and Tenreyro (2006), various studies have used the Poisson Pseudo-Maximum Likelihood to estimate gravity specifications of trade flows and non-count data models more generally. Some papers also report results based on the Negative Binomial estimator, which is more general and encompasses the Poisson assumption as a special case. This note shows that the Negative Binomial estimator is inappropriate when applied to a continuous dependent variable which unit choice is arbitrary, because estimates artificially depend on that choice.

Keywords: pseudo-maximum likelihood methods; negative binomial estimator; Poisson regression; gamma PML (search for similar items in EconPapers)
Date: 2010
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00535594
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Working Paper: Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator (2010) Downloads
Working Paper: Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator (2010) Downloads
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