Two-Way Models for Gravity

• 成果类型: Article
• 署名作者: Jochmans, Koen
• 署名单位: Institut d'Etudes Politiques Paris (Sciences Po)
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00620
• 发表日期: 2017-07
• 页码: 478-485
• 关键词: maximum-likelihood methods; panel-data; distributions; moment

摘要

Empirical models for dyadic interactions between n agents often feature agent-specific parameters. Fixed-effect estimators of such models generally have bias of order n(-1), which is nonnegligible relative to their standard error. Therefore, confidence sets based on the asymptotic distribution have incorrect coverage. This paper looks at models with multiplicative unobservables and fixed effects. We derive moment conditions that are free of fixed effects and use them to set up estimators that are n-consistent, asymptotically normally distributed, and asymptotically unbiased. We provide Monte Carlo evidence for a range of models. We estimate a gravity equation as an empirical illustration.