Three-way gravity models with multiplicative unobserved effects
研究了双边贸易分析中常用的三维引力模型，提出一种新的广义矩估计方法，该方法通过构造与未观测效应无关的矩条件，在模拟中优于传统的泊松伪最大似然估计，并应用于估计货币联盟对出口的影响。
Summary This paper investigates three-way gravity models with multiplicative unobserved effects, which are popular in bilateral trade analysis and many other contexts. Such models are usually estimated by the fixed effects Poisson pseudo maximum likelihood method. As an alternative, we extend the estimation strategy proposed by Jochmans (2017) to our new settings by constructing moment conditions that are independent of the unobserved effects. Our method entails estimation of the conditional mean of a variety of functional forms. The generalized method of moments (GMM) estimator based on these moment conditions is N-consistent and asymptotically normally distributed. We also discuss the estimation of dynamic models by extending the linear feedback models to our three-way settings. Through various simulation designs, we show that our GMM estimator outperforms the competing Poisson pseudo maximum likelihood estimator. As an empirical application, we estimate the effects of the currency unions on exports.