Conditional GMM estimation for gravity models

This paper studies finite sample performances of the conditional GMM es- timators for a particular conditional moment restriction model, which is commonly ap- plied in economic analysis using gravity models of international trade. We consider the GMM estimator with growing moments and Dominguez and Lobato’s (2004) process- based GMM estimator. Under the simulation designs by Santos Silva and Tenreyro (2006, 2011), we find that Dominguez and Lobato’s (2004) estimator is favorably com- parable with the Poisson pseudo maximum likelihood estimator, and outperforms other estimators.