Instrumental-variable estimation of exponential-regression models with two-way fixed effects with an application to gravity equations

IF 2.3 3区 经济学 Q2 ECONOMICS
Koen Jochmans, Vincenzo Verardi
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引用次数: 2

Abstract

This paper introduces instrumental-variable estimators for exponential-regression models that feature two-way fixed effects. These techniques allow us to develop a theory-consistent approach to the estimation of cross-sectional gravity equations that can accommodate the endogeneity of policy variables. We apply this approach to a dataset in which the policy decision of interest is the engagement in a free-trade agreement. We explore ways to exploit the transitivity observed in the formation of trade agreements to construct instrumental variables with considerable predictive ability. Within a bilateral model, the use of these instruments has strong theoretical foundations. We obtain point estimates of the partial effect of a preferential-trade agreement on trade volume that range between 20% and 30% and find no statistical evidence of endogeneity.

具有双向固定效应的指数回归模型的工具变量估计及其在重力方程中的应用
本文介绍了具有双向固定效应的指数回归模型的工具变量估计量。这些技术使我们能够开发出一种理论一致的方法来估计横截面重力方程,这种方法可以适应政策变量的内生性。我们将这种方法应用于一个数据集,其中感兴趣的政策决定是参与自由贸易协定。我们探索利用在贸易协定形成过程中观察到的及物性来构建具有相当预测能力的工具变量的方法。在双边模型中,这些工具的使用具有强大的理论基础。我们获得了优惠贸易协定对贸易量的部分影响的点估计,范围在20%到30%之间,没有发现内生性的统计证据。
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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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