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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 ( Windows users should not attempt to download these files with a web browser.
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