Gravity model estimation using panel data - is logarithmic transformation advisable?
| Název práce v češtině: | Odhad gravitační rovnice na panelových datech. Je používání logaritmické transformace vhodným postupem? |
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| Název v anglickém jazyce: | Gravity model estimation using panel data - is logarithmic transformation advisable? |
| Klíčová slova: | Gravitační model obchodu, Poissonova metoda odhadu, Panelová data |
| Klíčová slova anglicky: | Gravity model of trade; Poission estimation; Panel data |
| Akademický rok vypsání: | 2011/2012 |
| Typ práce: | rigorózní práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | doc. Ing. Vladimír Benáček, CSc. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 30.01.2015 |
| Datum zadání: | 30.01.2015 |
| Oponenti: | doc. PhDr. Jozef Baruník, Ph.D. |
| Zásady pro vypracování |
| Držet se následujícího konspektu hypotéz:
Prove theoretically that: 1. The Poisson panel data estimations provide better results from the econometric point of view. 2. The Poisson panel data estimations provide better results from the gravity equation theoretical point of view. Confirm by empirical econometric tests that: 3. The Poisson panel data estimations fit better the data using the panel data for trade of in at least one of these: Germany, Czech Republic. |
| Seznam odborné literatury |
| Santos Silva, J.M.C. and Tenreyro, Silvana (2006), The Log of Gravity, The Review of Economics and Statistics, 88(4), pp. 641-658
Santos Silva, J.M.C. & Tenreyro, Silvana (2011), Further simulation evidence on the performance of the Poisson pseudo-maximum likelihood estimator, Economics Letters, Elsevier, vol. 112(2), pages 220-222, August Westerlund J. and Wilhelmsson F. (2007), Estimating the gravity model without gravity using panel data, .Mimeo School of Economics and Management, Lund University. |
| Předběžná náplň práce |
| The majority of empirical literature uses the logarithmic transformation of gravity equation for its estimation. Silva and Tenreyro (2006) point out that in the presence of heteroskedasticity is the OLS estimation based on this transformation inconsistent. Moreover, the transformation cannot deal with zero trade observation. They suggest estimating the equation in multiplicative form using Poisson pseudo-maximum likelihood estimation (PPMLE). Westrelund and Wilhelmsson (2007) discuss further the problem of logarithmic transformation when panel data are used. They also conclude that the Poisson estimation is advisable; they concretely suggest estimating the gravity equation by Poisson fixed effects estimation.
The thesis will discuss the problem of logarithmic transformation of gravity equation in detail. Using real data; it will compare the results of standard and Poisson panel data estimations (random effects and different types of fixed effects). It will focus on the gravity equation theory, consistency of estimation or fitted values. Methodology: Perform various panel data estimation technique to estimate the gravity equation using German trade data. Focus on clustered pooled OLS; one way and two way random effects and fixed effects (classical and LSDV). All of these techniques will be performed as standard and Poisson estimation. To compare the models, run e.g. some specification tests or estimate the fitted values. Outline: 1. Introduction and motivation 2. Literature overview 3. Gravity Model – Theoretical derivation 4. Problems of Logarithmic Transformation and Poisson Estimation 5. Empirical Analysis 6. Conclusion |
| Předběžná náplň práce v anglickém jazyce |
| The majority of empirical literature uses the logarithmic transformation of gravity equation for its estimation. Silva and Tenreyro (2006) point out that in the presence of heteroskedasticity is the OLS estimation based on this transformation inconsistent. Moreover, the transformation cannot deal with zero trade observation. They suggest estimating the equation in multiplicative form using Poisson pseudo-maximum likelihood estimation (PPMLE). Westrelund and Wilhelmsson (2007) discuss further the problem of logarithmic transformation when panel data are used. They also conclude that the Poisson estimation is advisable; they concretely suggest estimating the gravity equation by Poisson fixed effects estimation.
The thesis will discuss the problem of logarithmic transformation of gravity equation in detail. Using real data; it will compare the results of standard and Poisson panel data estimations (random effects and different types of fixed effects). It will focus on the gravity equation theory, consistency of estimation or fitted values. Methodology: Perform various panel data estimation technique to estimate the gravity equation using German trade data. Focus on clustered pooled OLS; one way and two way random effects and fixed effects (classical and LSDV). All of these techniques will be performed as standard and Poisson estimation. To compare the models, run e.g. some specification tests or estimate the fitted values. Outline: 1. Introduction and motivation 2. Literature overview 3. Gravity Model – Theoretical derivation 4. Problems of Logarithmic Transformation and Poisson Estimation 5. Empirical Analysis 6. Conclusion |