Package gravity the comprehensive r archive network. Estimating general equilibrium trade policy e ects. Probability of exactly k events, prx k probcalc p mu exactly k. Stata is a statistical software program and we assume that you have a recent version of stata version 11. This paper reconsiders the estimation of structural gravity models. Workhorse, toolkit, and cookbookwhen choosing robust estimation. The exposure variable in poisson regression models the.
Estimating general equilibrium trade policy effects. Colin cameron and per johansson, count data regression using series expansion. I tried poisson or ppml command in stata with the country. My main research interests are in empirical banking and corporate finance. Still, it can under predict 0s and have a variance that is greater than the conditional mean. Although some basic knowledge of stata is required as a prerequisite, more advanced commands and techniques are introduced in the text as necessary. Gravity model with ppml command statalist the stata forum.
I note that the stata coefficient table mentioned robust std. Specifically, we point out that the command fails to check for the existence of the estimates, and we show that it is very sensitive to numerical problems. Ppmlhdfe poisson pseudolikelihood regression with multiple. Ppml, panel data statalist statalist the stata forum. The estimator employed is robust to statistical separation and convergence issues, due to the procedures developed in correia, guimaraes, zylkin 2019b.
It is specifically designed to alleviate the computational burden of the many fixed effects required by structural gravity models, particularly the many pair fixed effects that are required in order to. The estimator employed is robust to statistical separation and convergence issues, due to the procedures developed in correia, guimaraes, zylkin 2019b this package has four key advantages. Hence, other models have been developed which we will discuss shortly. It introduces a constrained, projectionbased poisson pseudo maximum likelihood estimation procedure constrained ppml that exploits the equilibrium conditions introduced by anderson and van wincoop 2003 for estimation and inference. Models for count outcomes page 4 the prm model should do better than a univariate poisson distribution. Learn how to generate a variable that fits a poisson distribution in stata. Poisson regression, also known as a loglinear model, is what you use when your outcome variable is a count i. Poisson and negative binomial regression poisson regression the technique is implemented in stata by the poisson command, which has the same format as other estimation commands, where the depvar is a nonnegative count variable.
Models for count outcomes university of notre dame. Examples of count variables in research include how many heart attacks or strokes ones had, how many days in the past month ones used insert your favorite. Bias corrections for ppml gravity models with two and threeway fixed effects. Poisson regression incidence rate ratio statsdirect. Poisson regression models and its extensions zeroinflated poisson, negative binomial regression, etc. Stata program for running fixed effects and ivs in the. Welcome to the log of gravity page reference now with open access. Ppml is an estimation method for gravity models belonging to generalized linear models. Two levels poisson models taken from multilevel and longitudinal modeling using stata, p. Constrained poisson pseudo maximum likelihood estimation. Poisson pseudolikelihood regression with multiple levels of fixed effects.
As, to our knowledge at the moment, there is no explicit literature covering the estimation of a gravity equation by bvu using panel data, we do not recommend to apply this method in this case. It is estimated via glm using the quasipoisson distribution and a loglink. The log of gravity page london school of economics. A subset of the german socioeconomic panel data comprised of women working full time in the 1996 panel wave. Thus, the possible values of y are the nonnegative integers. An early version of the paper can be found at ceplse and an even earlier version at boston fed in this page you can find the data set used in the paper, codes to extend some of. It differs from statas poisson command because it uses the method of santos silva and. Title ivpoisson poisson regression with endogenous regressors syntaxmenudescriptionoptions remarks and examplesstored resultsmethods and formulasreferences also see syntax generalized method of moments estimator ivpoisson gmm depvar varlist 1 varlist 2 varlist iv if in weight, reg err optoptions. To download the latest version, to report report any issues, or for additional.
Poisson pseudomaximum likelihood method poissonpml. Stata code for robust standard errors in the fixed effects poisson in stata type ssc install xtpqml n. Ppmlhdfe is now on ssc poisson regressions with fixed effects. According to the authors, the data set is based on the. As you read this guide, you will use stata to carry out estimations designed to familiarize you with the software and, more importantly, the gravity model. In this paper we present ppmlhdfe, a new stata command for estimation of pseudo poisson regression models with multiple highdimensional fixed effects hdfe. The standard poisson pseudomaximumlikelihood ppml estimator for gravity models is iterated to deliver partial and general equilibrium comparative static responses to changes in trade policies or other changes in trade costs.
The method works by fully exploiting the combined properties of structural gravity and ppml. The data is in stata format, and you can download it from the econ 508 web site. Maximum likelihood estimation in stata and mata econ626. We illustrate with a worldwide border removal application using the poisson pseudomaximumlikelihood ppml estimator in stata, iterated to deliver conditional and full general equilibrium responses. Silva and tenreyro 2006 suggested poisson pseudo maximum likelihood ppml estimator for estimating gravity models because it gives consistent parameters, robust to different forms of heteroskedasticity and technically deal with zero flows data. It is specifically designed to alleviate the computational burden of the many fixed effects required by structural gravity models, particularly the many pair fixed effects that are required in order to consistently estimate the effects. Empirical analysis with panel data methods tomasz brodzicki katarzyna sledziewska dorota ciolek stanislaw uminski the goal of this article is to investigate the determinants of the intensity of bilateral trade flows of poland with its trade partners at the general country level with the use of trade. Statistical software components from boston college department of economics. Santos silvay silvana tenreyroz january 6, 2011 abstract in this note we identify and illustrate some shortcomings of the poisson command in stata. Need ith contribution to likelihood function as input d0 method. I use ppml estimator and would like to include multilateral resistance terms. Stata module to estimate structural gravity models via poisson pml.
Number of words an eighteen month old can say number of aggressive incidents performed by patients in an impatient rehab center most count variables follow one of. In this article, we identify and illustrate some shortcomings of the poisson command in stata. Stata module to perform poisson pseudomaximum likelihood estimation. With applications, journal of applied econometrics, vol. Chapter 325 poisson regression introduction poisson regression is similar to regular multiple regression except that the dependent y variable is an observed count that follows the poisson distribution. Santos silva and tenreyro 2006 show that poissonpml consistently estimates the gravity equation for trade and is robust to di erent patterns of heteroskedasticity and measurement error, which makes it preferable to alternative procedures such as ordinary least squares using the log of. I was taking logs of the regressors in my new estimation, but the ppml continues give me a small rsquared nearly that my previous post where i showed my results.
Stata version probability distribution calculators mac\teaching\stata\stata version \stata v probability distribution calculators. Estimation is implemented using a modified version of the iteratively reweighted leastsquares irls algorithm that allows for fast estimation in the presence of hdfe. Poisson pseudo maximum likelihood, ppml in jpburgard. Verifying the existence of ml estimates for glms stata. I have a database with 1,663,200 observations referring to the exports and imports divided by 120 products of 22 regions in. To address this gap, we introduce an iterative poisson pseudo. Stata program for running fixed effects and ivs in the poissonpseudomasimum likelihood ppml in the silva and tenreyro setting is there any work done on extending the ppml framework to include. In other pages i read that when i use a poisson based model, i dont have to use the rsquares, is it correct. It differs from stata s poisson command because it uses the method of santos silva and tenreyro santos silva, j. I have only one source country exporter and 30 destinations importers. Therefore i should add exporter time and importer time fixed effects to model. Ppml is presented in santossilva and tenreyro 2006 see the references for more information. To execute the function a square gravity dataset with all pairs of countries, isocodes for the country of origin and. Hi all, i am a master student and i am trying to estimate a gravity model but i think i have some problems with that.