Two-Way Models for Gravity
针对双边互动数据中固定效应估计量偏差大的问题，推导出不含固定效应的矩条件，构造出n一致、渐近正态且无偏的估计量，并通过蒙特卡洛模拟和重力方程实证验证。
© 2017 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology. Empirical models for dyadic interactions between n agents often feature agent-specific parameters. Fixed-effect estimators of such models generally have bias of order n-1, which is nonnegligible relative to their standard error. Therefore, confidence sets based on the asymptotic distribution have incorrect coverage. This paper looks at models with multiplicative unobservables and fixed effects. We derive moment conditions that are free of fixed effects and use them to set up estimators that are n-consistent, asymptotically normally distributed, and asymptotically unbiased. We provide Monte Carlo evidence for a range of models. We estimate a gravity equation as an empirical illustration.