Gravity models of intra‐EU trade: application of the CCEP‐HT estimation in heterogeneous panels with unobserved common time‐specific factors
提出一种广义Hausman-Taylor估计方法，用于分析1960-2001年15个欧洲国家双边贸易流量的引力方程，发现考虑未观测异质性时间效应能减少估计偏差。
Abstract We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be heterogeneous. We then develop a generalized Hausman–Taylor estimation methodology, and apply our proposed estimation technique to an analysis of the gravity equation of bilateral trade flows among 15 European countries over 1960–2001. Empirical results demonstrate that our proposed approach provides more sensible results than the conventional approach based on fixed time dummies. These findings may highlight the importance of allowing for a certain degree of cross‐section dependence through unobserved heterogeneous time‐specific effects; the resulting estimates would otherwise be severely biased. Copyright © 2007 John Wiley & Sons, Ltd.