Bias and Consistency in Three-way Gravity Models

1 code implementation • 3 Sep 2019 • Martin Weidner, Thomas Zylkin

We study the incidental parameter problem for the ``three-way'' Poisson {Pseudo-Maximum Likelihood} (``PPML'') estimator recently recommended for identifying the effects of trade policies and in other panel data gravity settings.

Verifying the existence of maximum likelihood estimates for generalized linear models

2 code implementations • 5 Mar 2019 • Sergio Correia, Paulo Guimarães, Thomas Zylkin

A fundamental problem with nonlinear models is that maximum likelihood estimates are not guaranteed to exist.

ppmlhdfe: Fast Poisson Estimation with High-Dimensional Fixed Effects

1 code implementation • 5 Mar 2019 • Sergio Correia, Paulo Guimarães, Thomas Zylkin

In this paper we present ppmlhdfe, a new Stata command for estimation of (pseudo) Poisson regression models with multiple high-dimensional fixed effects (HDFE).

Econometrics