*! version 1.0 4 October 20119
help ivgravity (Koen Jochmans and Vincenzo Verardi)

Title

ivgravity -- Method-of-moment IV estimators from Jochmans and Verardi (2019) for estimating exponential-regression models with two-way fixed effects from a cross-section of data on dyadic interactions and endogenous covariates

Syntax

ivgravity depvar [varlist1]
(varlist2 =
varlist_iv) , indm(varname) indn(varname) [initial(vector) level(#)]

depvar is the dependent variable.

varlist1 is the list of exogenous variables.

varlist2 is the list of endogenous variables.

varlist_iv is the list of exogenous variables used with varlist1
as instruments for varlist2.

indm(varname) Specifies the first agent in the dyad (akin to a panel identifier)

indn(varname) Specifies the second agent in the dyad (akin to time identifier)

initial(vector) Specifies a column vector of initial values for coefficients

level(#) Set confidence level; default is level(95)

Description

ivgravity computes Jochmans and Verardi (2019) generalisation to the IV case of Jochmans' (2017) method-of-moment estimators in a computationally-efficient manner.

Examples

. ivgravity trade dist colony bord (pta lang= common_pta common_bord smctry lang), indn( importer) indm( exporter)

. matrix A=J(5,1,0)

. ivgravity trade dist colony bord (pta lang= common_pta common_bord smctry lang), indn( importer) indm( exporter) init(A)

Output

Scalars

e(sargan) Sargan overidentification test statistic

e(psargan) p-value

Matrices

e(b) coefficient vector

e(V) variance-covariance matrix of the estimators

Authors

Koen Jochmans, University of Cambridge; and Vincenzo Verard, FNRS-UNamur

Also see

Help: twgravity twexp (if installed)

References

Jochmans, K. and V. Verardi (2019). Instrumental variable estimation of gravity equations.
Mimeo.

Jochmans, K. (2017), Two-way models for gravity, Review of Economics and Statistics 99: 478-485