*! version 1.0 28march2018
help twexp (Koen Jochmans and Vincenzo Verardi)

Title

twexp --

Method-of-moment estimators from Jochmans (2017) for estimating exponential-regression models with two-way fixed effects from a panel data with self-links

Syntax

twexp varlist [if] [in] , indm(varname) indn(varname) model(GMM1|GMM2) [initial(vector)]

Model
indm(varname) Specifies the cross-section indicator

indn(varname) Specifies the time-series indicator

model(GMM1|GMM2) Specifies estimator to use - see Jochmans and Verardi (2019)

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

Description

twexp computes Jochmans' (2017) method-of-moment estimators in a computationally-efficient manner.

Example

Download the dataset from http://cameron.econ.ucdavis.edu/mmabook/patr7079.asc and name variables

.infile CUSIP ARDSSIC SCISECT LOGK SUMPAT LOGR70 LOGR71 LOGR72 LOGR73 ///

LOGR74 LOGR75 LOGR76 LOGR77 LOGR78 LOGR79 PAT70 PAT71 PAT72 ///

PAT73 PAT74 PAT75 PAT76 PAT77 PAT78 PAT79 ///

using "http://cameron.econ.ucdavis.edu/mmabook/patr7079.asc"

.gen id = _n

.reshape long PAT LOGR, i(id) j(year)

.twexp PAT LOGR, indn(id) indm(year) model(GMM1)

.matrix init=e(b)'

.twexp PAT LOGR, indn(id) indm(year) model(GMM2) init(init)

Authors

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

Also see

Help: twgravity (if installed)

References

Jochmans, K. and V. Verardi (2019). twexp and twgravity: Estimating exponential regression models with two-way fixed effects.
Mimeo.

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