PPML_FE_BIAS: Stata module to provide bias corrections for Poisson Pseudo-Maximum Likelihood (PPML) gravity models with two-way and three-way fixed effects

Thomas Zylkin

Statistical Software Components from Boston College Department of Economics

Abstract: ppml_fe_bias implements analytical bias corrections described in Weidner & Zylkin (2020) for PPML "gravity" regressions with two-way and three-way fixed effects, as are commonly used with international trade data and other types of spatial flows. As shown by Weidner & Zylkin (2020), when the time dimension is fixed, the point estimates produced by the three-way PPML gravity model have an asymptotic incidental parameter bias of order 1/N, where N is the number of countries, and the cluster-robust variance estimator itself has a downward bias that is also of order 1/N. For the two-way PPML gravity model, only the standard errors are biased.

Language: Stata
Requires: Stata version 13.1
Keywords: PPML; bias; gravity models (search for similar items in EconPapers)
Date: 2020-05-27, Revised 2021-03-06
Note: This module should be installed from within Stata by typing "ssc install ppml_fe_bias". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/p/ppml_fe_bias.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/ppml_fe_bias.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/ppml_fe_bias.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/ppmlfebias_example.dta sample data file (application/x-stata)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458790

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().