Jochmans, K. and Verardi, V.

twexp and twgravity: Fitting Exponential Regression Models with Two-way Fixed Effects

Stata Journal

Vol. 20(2) pp. 468-480 (2020)

Abstract: In this article, we introduce the commands twexp and twgravity, which implement the estimators developed in Jochmans (2017, Review of Economics and Statistics 99: 478–485) for exponential regression models with two-way fixed effects. twexp is applicable to generic n × m panel data. twgravity is written for the special case where the dataset is a cross-section on dyadic interactions between n agents. A prime example is cross-sectional bilateral trade data, where the model of interest is a gravity equation with importer and exporter effects. Both twexp and twgravity can deal with data where n and m are large, that is, where there are many fixed effects. These commands use Mata and are fast to execute.

Keywords: st0604, twexp, twgravity, exponential regression, gravity model, panel data, two-way fixed effects

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Publisher's Link: https://doi.org/10.1177%2F1536867X20931006