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

Clement Bosquet () and Herve Boulhol

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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)
JEL-codes: C13 C21 F10 (search for similar items in EconPapers)
Date: 2010-11
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ftp://mse.univ-paris1.fr/pub/mse/CES2010/10092.pdf (application/pdf)

Related works:
Journal Article: Applying the GLM Variance Assumption to Overcome the Scale-Dependence of the Negative Binomial QGPML Estimator (2014) Downloads
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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