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Gravity models, PPML estimation and the bias of the robust standard errors

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  • Michael Pfaffermayr

Abstract

In gravity models with exporter and importer dummies, the robust standard errors of the slope parameters tend to be severely downward biased when estimated by PPML. The coverage rate of confidence intervals of the estimated slope parameters may thus be much too small in cross-sections of the size typically used in empirical research.

Suggested Citation

  • Michael Pfaffermayr, 2019. "Gravity models, PPML estimation and the bias of the robust standard errors," Applied Economics Letters, Taylor & Francis Journals, vol. 26(18), pages 1467-1471, October.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:18:p:1467-1471
    DOI: 10.1080/13504851.2019.1581902
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