GLM estimation of trade gravity models with fixed effects

详细信息    查看全文

• 作者：Peter H. Egger ; Kevin E. Staub
• 关键词：Gravity models ; Generalized linear models ; Fixed effects
• 刊名：Empirical Economics
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：50
• 期：1
• 页码：137-175
• 全文大小：1,813 KB
• 参考文献：Adams N, Crowder M, Hand DJ, Stephens D (ed) (2004) Methods and models in statistics. In Honour of Professor John Nelder, FRS. Imperial College Press, London, UK
  Allen T, Arkolakis C, Takahashi Y (2014) Universal gravity unpublished manuscript. Yale University, New HavenCrossRef
  Anderson JE, van Wincoop E (2003) Gravity with gravitas: a solution to the border puzzle. Am Econ Rev 93(1):170–192CrossRef
  Anderson JE, Yotov YV (2010) The changing incidence of geography. Am Econ Rev 100(5):2157–2186CrossRef
  Anderson JE, Yotov YV (2012) Gold standard gravity. NBER Working Papers No 17835
  Arkolakis C, Costinot A, Rodríguez-Clare A (2012) New trade models, same old gains? Am Econ Rev 102(1):94–130CrossRef
  Aviat A, Coeurdacier N (2007) The geography of trade in goods and asset holdings. J Int Econ 71:22–51CrossRef
  Baier SL, Bergstrand JH (2009) Bonus vetus ols: a simple method for approximating international trade-cost effects using the gravity equation. J Int Econ 77(1):77–85CrossRef
  Baltagi BH (2013) Econometric analysis of panel data, 5th edn. Wiley, Hoboken
  Baltagi BH, Egger PH, Pfaffermayr M (2014) Panel data gravity models of international trade. In: Baltagi BH (ed) The Oxford handbook of panel data. Oxford University Press, Oxford, forthcoming
  Bergstrand JH, Egger PH, Larch M (2013) Gravity redux: estimation of gravity-equation coefficients, elasticities of substitution, and general equilibrium comparative statics under asymmetric bilateral trade costs. J Int Econ 89(1):110–121CrossRef
  Bosquet C, Boulhol H (2009) Gravity, log of gravity and the “distance puzzle” Unpublished manuscript. Université Paris Panthéon-Sorbonne, Paris
  Bosquet C, Boulhol H (2014) Applying the glm variance assumption to overcome the scale-dependence of the negative binomial qgpml estimator. Econometric Rev 33(7):772–784CrossRef
  Cameron AC, Trivedi PK (2005) Microeconometrics: methods and applications. Cambridge University Press, CambridgeCrossRef
  Charbonneau KB (2012) Multiple fixed effects in nonlinear panel data models—theory and evidence unpublished manuscript. Princeton University, Princeton
  Dekle R, Eaton J, Kortum SS (2007) Unbalanced trade. Am Econ Rev 97(2):351–355CrossRef
  Eaton J, Kortum SS (2002) Technology, geography, and trade. Econometrica 70:1741–1779CrossRef
  Egger PH, Nigai S (2014) Structural gravity with dummies only. CEPR Discussion Paper
  Egger PH, Larch M, Staub KE, Winkelmann R (2011) The trade effects of endogenous preferential trade agreements. Am Econ J: Econ Policy 3(1):113–143
  Egger PH, Larch M, Staub KE (2012) The log of gravity with correlated sectors: an application to structural estimation of bilateral goods and services trade. CEPR Discussion Paper No. 9051, Revised version
  Fally T (2014) Structural gravity with fixed effects, unpublished manuscript. University of Colorado, Colorado
  Fernández-Val I, Weidner M (2013) Individual and time effects in nonlinear panel models with large n, t. CeMMAP working paper CWP60/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
  GeoDist Database (2013) Centre d’Études prospectives et d’informations internationales, Accessed in Oct 2013 on http://​www.​cepii.​fr
  Gómez Herrera E (2013) Comparing alternative methods to estimate gravity models of bilateral trade. Empir Econ 44:1087–1111CrossRef
  Hahn J, Newey W (2004) Jackknife and analytical bias reduction for nonlinear panel models. Econometrica 72(4):1295–1319CrossRef
  Head K, Mayer T (2014) Gravity equations: workhorse, toolkit, and cookbook. In: Gopinath, Helpman, Rogoff (eds) Handbook of international economics, vol 4
  Martin W, Pham CS (2008) Estimating the gravity model when zero trade flows are frequent. Working Paper Economics Series 2008_03, Deakin University
  Martínez Zarzoso I (2013) The log of gravity revisited. Appl Econ 45(3):311–327CrossRef
  McCullagh P, Nelder JA (1989) Generalized linear models, 2nd edn. Chapman and Hall, LondonCrossRef
  Mélitz J, Toubal F (2014) Native language, spoken language, translation and trade. J Int Econ 93(2):351–363CrossRef
  Nelder JA, Wedderburn RW (1972) Generalized linear models. J R Stat Soc A 135(3):370–384CrossRef
  Novy D (2013) International trade without ces: estimating translog gravity. J Int Econ 89(2):271–282CrossRef
  Pierce DA, Schafer DW (1986) Residuals in generalized linear models. J Am Stat Assoc 81:977–986CrossRef
  Santos Silva JMC, Tenreyro S (2006) The log of gravity. Rev Econ Stat 88(4):641–658CrossRef
  Santos Silva JMC, Tenreyro S (2011) Further simulation evidence on the performance of the poisson pseudo-maximum likelihood estimator. Econ Lett 112:220–222CrossRef
  Santos Silva JMC, Tenreyro S, Windmeijer F (2015) Is it different for zeros? Discriminating between models for non-negative data with many zeros. J Econom Methods (forthcoming)
  Waugh ME (2010) International trade and income differences. Am Econ Rev 100(5):2093–2124CrossRef
  
• 作者单位：Peter H. Egger (1)
  Kevin E. Staub (2)
  
  1. Department of Management, Technology, and Economics, ETH Zurich, Weinbergstr. 35, 8092, Zurich, Switzerland
  2. Department of Economics, The University of Melbourne, 111 Barry Street, The University of Melbourne, VIC, 3010, Australia
  
• 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-8921

文摘

Many empirical gravity models are now based on generalized linear models (GLM), of which the poisson pseudo-maximum likelihood estimator is a prominent example and the most frequently used estimator. Previous literature on the performance of these estimators has primarily focussed on the role of the variance function for the estimators’ behavior. We add to this literature by studying the small sample performance of estimators in a data-generating process that is fully consistent with general equilibrium economic models of international trade. Economic theory suggests that (1) importer- and exporter-specific effects need to be accounted for in estimation, and (2) that they are correlated with bilateral trade costs through general equilibrium (or balance-of-payments) restrictions. We compare the performance of structural estimators, fixed effects estimators, and quasi-differences estimators in such settings, using the GLM approach as a unifying framework.