Fitting exponential regression models with two-way fixed effects

Koen Jochmans, Vincenzo Verardi

Research output: Contribution to journalArticlepeer-review

Abstract

In this article, we introduce the commands twexp and twgravity, which implement the estimators developed in Jochmans (2017, Review of Economics and Statistics 99: 478–485) for exponential regression models with two-way fixed effects. twexp is applicable to generic n × m panel data. twgravity is written for the special case where the dataset is a cross-section on dyadic interactions between n agents. A prime example 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, where there are many fixed effects. These commands use Mata and are fast to execute.

Original languageEnglish
Pages (from-to)468-480
Number of pages13
JournalStata Journal
Volume20
Issue number2
DOIs
Publication statusPublished - 1 Jun 2020

Keywords

  • exponential regression
  • gravity model
  • panel data
  • st0604
  • twexp
  • twgravity
  • two-way fixed effects

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