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

Clement Bosquet and Hervé Boulhol ()
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Hervé Boulhol: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, OCDE - Organisation de Coopération et de Développement Economiques = Organisation for Economic Co-operation and Development

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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; Méthodes du pseudo-maximum de vraisemblance; estimateur avec loi binomiale négative; régression de Poisson; pseudo-maximum de vraisemblance avec loi gamma (search for similar items in EconPapers)
Date: 2010-11
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00544129
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Citations: View citations in EconPapers (16)

Published in 2010

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Related works:
Working Paper: Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator (2010)
Working Paper: Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator (2010)
Working Paper: Scale-dependence of the Negative Binomial Pseudo-Maximum Likelihood Estimator (2010)
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