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Two-Way Models for Gravity

 

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Type:   Article
 
Titre:   Two-Way Models for Gravity
 
Auteur(s):   Jochmans, Koen (1982-...) - Département d'économie (Auteur)
 
In:   The Review of Economics & Statistics
 
Date de publication:   2016
 
Éditeur:   ÉTATS-UNIS  :  MIT Press
 
Volume:   Forthcoming
 
ISSN:   00346535
 
DOI:   10.1162/REST_a_00620
 
JEL:   C12,  C23,  F14
 
Résumé:   [en] 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 non-negligible 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.
 
 

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