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