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

Author

Listed:
  • 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
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    References listed on IDEAS

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    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. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
    3. 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.
    4. 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 11 Jan 2026.
    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. Koen Jochmans, 2017. "Two-Way Models for Gravity," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 478-485, July.
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    Keywords

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    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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