Instrumental‐variable estimation of exponential‐regression models with two‐way fixed effects with an application to gravity equations
为具有双向固定效应的指数回归模型开发了工具变量估计方法，用于处理政策变量的内生性，并应用于自由贸易协定对贸易量的影响估计，发现效应在20%-30%之间且无内生性证据。
Summary This paper introduces instrumental‐variable estimators for exponential‐regression models that feature two‐way fixed effects. These techniques allow us to develop a theory‐consistent approach to the estimation of cross‐sectional gravity equations that can accommodate the endogeneity of policy variables. We apply this approach to a dataset in which the policy decision of interest is the engagement in a free‐trade agreement. We explore ways to exploit the transitivity observed in the formation of trade agreements to construct instrumental variables with considerable predictive ability. Within a bilateral model, the use of these instruments has strong theoretical foundations. We obtain point estimates of the partial effect of a preferential‐trade agreement on trade volume that range between 20% and 30% and find no statistical evidence of endogeneity.