Weird PQML coefficient values (compared to GLS/OLS output)

#1
Hi all,

first and foremost, any help for my little issue here is much appreciated!

I am currently writing my master thesis, where I'm analyzing common currency effects on trade flows. Therefore, I'm using the Gravity Model of Trade for it. After conducting a first OLS regression with rather unsatisfactory results (due to heteroskedasticity), I performed a GLS regression, which was a big improvement. Subsequently, I applied a Poisson Quasi Maximum Likelihood to the same data, however, even though most coefficients are statistically significant, the values are extremely small (as compared to the coefficient values I obtained from my previous regressions). A rough estimate would be that they are 1/25 of the former ones; the signs of the coefficients are the same however.

I simply cannot find an explanation for that, especially because PQML is according to various scholars an excellent method for the gravity model.


I used Stata 12 and the 'ppml' command, with which I even got a really big R2 (0.91). Nonetheless, the coefficients are too small (none of them is bigger than 0.02, whereas the average for the other regressions was roughly 0.5).

I was wondering if I maybe did something wrong, or if anyone has an explanation for my problem?

Thanks a lot!!