IDEAS home Printed from https://ideas.repec.org/p/cam/camdae/1945.html
   My bibliography  Save this paper

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
    as

    Download full text from publisher

    File URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1945.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
    2. 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.
    3. Koen Jochmans, 2017. "Two-Way Models for Gravity," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 478-485, July.
    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)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Weidner, Martin & Zylkin, Thomas, 2021. "Bias and consistency in three-way gravity models," Journal of International Economics, Elsevier, vol. 132(C).
    2. J. M. C. Santos Silva & Silvana Tenreyro, 2022. "The Log of Gravity at 15," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 21(3), pages 423-437, September.
    3. Koen Jochmans & Vincenzo Verardi, 2022. "Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1121-1137, September.
    4. Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021. "Nonlinear factor models for network and panel data," Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
    5. Michael Pfaffermayr, 2020. "Constrained Poisson pseudo maximum likelihood estimation of structural gravity models," International Economics, CEPII research center, issue 161, pages 188-198.
    6. Jochmans, Koen, 2022. "Bias in instrumental-variable estimators of fixed-effect models for count data," Economics Letters, Elsevier, vol. 212(C).
    7. Mariam Camarero & Laura Montolio & Cecilio Tamarit, 2022. "Explaining German outward FDI in the EU: a reassessment using Bayesian model averaging and GLM estimators," Empirical Economics, Springer, vol. 62(2), pages 487-511, February.
    8. Jules Hugot & Camilo Umana Dajud, 2016. "Trade costs and the Suez and Panama Canals," Working Papers 2016-29, CEPII research center.
    9. Breinlich, Holger, 2008. "Trade liberalization and industrial restructuring through mergers and acquisitions," Journal of International Economics, Elsevier, vol. 76(2), pages 254-266, December.
    10. Desbordes, Rodolphe & Vicard, Vincent, 2009. "Foreign direct investment and bilateral investment treaties: An international political perspective," Journal of Comparative Economics, Elsevier, vol. 37(3), pages 372-386, September.
    11. Maria Cipollina & Luca De Benedictis & Luca Salvatici & Claudio Vicarelli, 2016. "Policy Measurement And Multilateral Resistance In Gravity Models," Working Papers LuissLab 16130, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    12. Wessel, Jan, 2019. "Evaluating the transport-mode-specific trade effects of different transport infrastructure types," Transport Policy, Elsevier, vol. 78(C), pages 42-57.
    13. Xuepeng Liu, 2009. "GATT/WTO Promotes Trade Strongly: Sample Selection and Model Specification," Review of International Economics, Wiley Blackwell, vol. 17(3), pages 428-446, August.
    14. Martin, Will, 2020. "Making Gravity Great Again," 2020: Economic Implications of COVID-19, December 14-15, Virtual Platform 339376, International Agricultural Trade Research Consortium.
    15. Lake, James & Linask, Maia K., 2016. "Could tariffs be pro-cyclical?," Journal of International Economics, Elsevier, vol. 103(C), pages 124-146.
    16. Lee, Seunghyun, 2022. "Effects of Wet Spring on Prevented Planting," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322348, Agricultural and Applied Economics Association.
    17. Marius Brülhart & Mario Jametti & Kurt Schmidheiny, 2012. "Do agglomeration economies reduce the sensitivity of firm location to tax differentials?," Economic Journal, Royal Economic Society, vol. 122(563), pages 1069-1093, September.
    18. Simone Balestra & Helge Liebert & Nicole Maestas & Tisamarie B. Sherry, 2021. "Behavioral Responses to Supply-Side Drug Policy During the Opioid Epidemic," NBER Working Papers 29596, National Bureau of Economic Research, Inc.
    19. Koffi Dumor & Yao Li & Ma Yongkai & Enock Mintah Ampaw & Hafez Komla Dumor, 2022. "Evaluating the belt and road initiative effects on trade and migration: Evidence from the East African community," African Development Review, African Development Bank, vol. 34(1), pages 16-28, March.
    20. Benedikt Heid & Mario Larch & Yoto V. Yotov, 2021. "Estimating the effects of non‐discriminatory trade policies within structural gravity models," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(1), pages 376-409, February.

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:1945. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.