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twexp and twgravity: Estimating exponential regression models with two-way fixed effects

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  • Jochmans, K.
  • Verardi, V.

Abstract

We introduce the commands twexp and twgravity that implement the estimators developed in Jochmans (2017) for exponential regression models with two-way fixed effects. twexp is applicable to generic n x m panel data. twgravity is written for the special case where the data is a cross-section on dyadic interactions between n agents. A prime example of the latter is cross-sectional bilateral trade data, where the model of interest is a gravity equation with importer and exporter effects. Both twexp and twgravity can deal with data where n and m are large, that is, the case of many fixed effects. They make use of Mata and are very fast to execute.

Suggested Citation

  • Jochmans, K. & Verardi, V., 2019. "twexp and twgravity: Estimating exponential regression models with two-way fixed effects," Cambridge Working Papers in Economics 1945, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:1945
    Note: kj345
    as

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    References listed on IDEAS

    as
    1. Fernández-Val, Iván & Weidner, Martin, 2016. "Individual and time effects in nonlinear panel models with large N, T," Journal of Econometrics, Elsevier, vol. 192(1), pages 291-312.
    2. Koen Jochmans, 2017. "Two-Way Models for Gravity," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 478-485, July.
    3. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
    4. J. M. C. Santos Silva & Silvana Tenreyro, 2006. "The Log of Gravity," The Review of Economics and Statistics, MIT Press, vol. 88(4), pages 641-658, November.
    5. Peter Egger & Kevin Staub, 2016. "GLM estimation of trade gravity models with fixed effects," Empirical Economics, Springer, vol. 50(1), pages 137-175, February.
    6. Sergio Correia & Paulo Guimaraes & Thomas Zylkin, 2019. "PPMLHDFE: Stata module for Poisson pseudo-likelihood regression with multiple levels of fixed effects," Statistical Software Components S458622, Boston College Department of Economics, revised 07 Sep 2023.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    exponential regression; gravity model; panel data; two-way fixed effects;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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