Kwon, Ohyun; Yoon, Jangsu; Yotov, Yoto V. - 2022
We propose a Generalized Poisson-Pseudo Maximum Likelihood (G-PPML) estimator that relaxes the PPML estimator’s assumption that the dependent variable’s conditional variance is proportional to its conditional mean. Instead, we employ an iterated Generalized Method of Moments (iGMM) to...