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PPML_FE_BIAS: Stata module to provide bias corrections for Poisson Pseudo-Maximum Likelihood (PPML) gravity models with two-way and three-way fixed effects

Author

Listed:
  • Tom Zylkin

    (University of Richmond)

Programming Language

Stata

Abstract

ppml_fe_bias implements analytical bias corrections described in Weidner & Zylkin (2020) for PPML "gravity" regressions with two-way and three-way fixed effects, as are commonly used with international trade data and other types of spatial flows. As shown by Weidner & Zylkin (2020), when the time dimension is fixed, the point estimates produced by the three-way PPML gravity model have an asymptotic incidental parameter bias of order 1/N, where N is the number of countries, and the cluster-robust variance estimator itself has a downward bias that is also of order 1/N. For the two-way PPML gravity model, only the standard errors are biased.

Suggested Citation

  • Tom Zylkin, 2020. "PPML_FE_BIAS: Stata module to provide bias corrections for Poisson Pseudo-Maximum Likelihood (PPML) gravity models with two-way and three-way fixed effects," Statistical Software Components S458790, Boston College Department of Economics, revised 06 Mar 2021.
  • Handle: RePEc:boc:bocode:s458790
    Note: This module should be installed from within Stata by typing "ssc install ppml_fe_bias". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/p/ppml_fe_bias.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/p/ppml_fe_bias.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/p/ppml_fe_bias.do
    File Function: sample do-file
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    File URL: http://fmwww.bc.edu/repec/bocode/p/ppmlfebias_example.dta
    File Function: sample data file
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    More about this item

    Keywords

    PPML; bias; gravity models; Stata;
    All these keywords.

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