Two-Way Models for Gravity
Two-Way Models for Gravity
复制标题
重力的双向模型
DOI：
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发表时间：
2017
影响因子：
8
通讯作者：
Koen Jochmans
中科院分区：
文献类型：
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作者：
Koen Jochmans
摘要n个代理之间的二元交互的经验模型通常具有代理特定的参数。这类模型的固定效应估计量通常有n-1阶的偏差，相对于它们的标准误差是不可忽略的。因此，基于渐近分布的置信集具有不正确的覆盖。本文研究了具有乘法不可观测量和固定效应的模型。我们推导出的矩条件是免费的固定效应，并使用它们来建立估计是n-一致的，渐近正态分布，渐近无偏。我们提供了一系列模型的Monte Carlo证据。我们估计一个重力方程作为一个经验说明。
Abstract 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 nonnegligible 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.