Dear all, I am currently using ppml for gravity estimates. The aim is to estimate the impact of COMESA RTA on egypt (21 destinations and 24years)
The dependent variable is trade value, the key variable is regional trade intensity index (TII) between Egypt and COMESA member states, and the control variables are GDP, ln Distance, comlng, comcol, cointg and exixtance of RTA and so on.
In group estimates I control for the 21 importing countries FE and the 24 year FE. (21 destinations and 24years, 504 obs)
I run the ppml command even before including the TII variable of interest just the traditiona model to check my understanding before going on (ppmlhdfe to account for time series fixed effect if i correctly understand), also i use the product of gdp for the two countries (destination and origination) instead separate gdp for each alone. however results were:
- some of them inconsistent with the theory (contig was negative sign)
- very large number of coefficients
- all tests statistics seems incorrect.
I tried using once ppml and once ppmlhdfe, also once using fixed effect's dummies for importers and once using fixed effects for both importers' dummies and years dummies. i generated only dummies for importers and years not exproters as Egypt is the only exporter the interest country. trade data used is tradeflow_baci from baci (defined as a combination of both trade from from originating and destination countries from comtrade)
it is my fist time running gravity and use stata ( i have read the gravity stata tutorial and the log gravity paper attached earlier)
Here is the Stata coding & Group result:
egen years = group (year)
tabulate years, generate (year_dum_)
drop importer imp_dum_1
egen importer = group ( iso3_d)
tabulate importer, generate (imp_dum_)
gen gdp_both = gdp_o*gdp_d
ppml tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* , cluster (dist)
ppml tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* year_dum_* , cluster (dist)
ppmlhdfe tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* , cluster (dist)
ppmlhdfe tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* year_dum_* , cluster (dist)
results
ppmlhdfe tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* year_dum_* , cluster (dist)
note: 6 variables omitted because of collinearity: comcol col45 imp_dum_14 imp_dum_18 imp_dum_21 year_dum_24
(simplex method dropped 44 separated observations)
note: 2 variables omitted because of collinearity: imp_dum_5 year_dum_23
Iteration 1: deviance = 1.4594e+07 eps = . iters = 1 tol = 1.0e-04 min(eta) = -3.33 P
Iteration 2: deviance = 8.0351e+06 eps = 8.16e-01 iters = 1 tol = 1.0e-04 min(eta) = -5.31
Iteration 3: deviance = 6.7562e+06 eps = 1.89e-01 iters = 1 tol = 1.0e-04 min(eta) = -7.31
Iteration 4: deviance = 6.5399e+06 eps = 3.31e-02 iters = 1 tol = 1.0e-04 min(eta) = -9.05
Iteration 5: deviance = 6.5029e+06 eps = 5.69e-03 iters = 1 tol = 1.0e-04 min(eta) = -10.38
Iteration 6: deviance = 6.4981e+06 eps = 7.43e-04 iters = 1 tol = 1.0e-04 min(eta) = -11.10
Iteration 7: deviance = 6.4978e+06 eps = 3.65e-05 iters = 1 tol = 1.0e-04 min(eta) = -11.29
Iteration 8: deviance = 6.4978e+06 eps = 1.93e-07 iters = 1 tol = 1.0e-05 min(eta) = -11.30
Iteration 9: deviance = 6.4978e+06 eps = 7.49e-12 iters = 1 tol = 1.0e-06 min(eta) = -11.30 S O
------------------------------------------------------------------------------------------------------------
(legend: p: exact partial-out s: exact solver h: step-halving o: epsilon below tolerance)
Converged in 9 iterations and 9 HDFE sub-iterations (tol = 1.0e-08)
warning: missing F statistic; dropped variables due to collinearity or too few clusters
PPML regression No. of obs = 460
Residual df = 20
Statistics robust to heteroskedasticity Wald chi2(44) = .
Deviance = 6497837.661 Prob > chi2 = .
Log pseudolikelihood = -3251090.571 Pseudo R2 = 0.9359
Number of clusters (dist) = 21
(Std. Err. adjusted for 21 clusters in dist)
------------------------------------------------------------------------------
| Robust
tradeflow_~i | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_dist | 11.39495 2.316592 4.92 0.000 6.854511 15.93538
gdp_both | -5.92e-18 1.30e-17 -0.45 0.650 -3.15e-17 1.96e-17
contig | 3.871812 .8481098 4.57 0.000 2.209548 5.534077
comlang_off | 13.8791 2.297996 6.04 0.000 9.375107 18.38309
comcol | 0 (omitted)
col45 | 0 (omitted)
fta_wto | .0419435 .350196 0.12 0.905 -.6444281 .7283151
imp_dum_1 | 4.24781 .8169043 5.20 0.000 2.646707 5.848913
imp_dum_2 | 3.172436 .5699914 5.57 0.000 2.055274 4.289599
imp_dum_3 | -15.55345 2.085441 -7.46 0.000 -19.64083 -11.46606
imp_dum_4 | -4.002251 .5444245 -7.35 0.000 -5.069304 -2.935199
imp_dum_5 | 0 (omitted)
imp_dum_6 | 13.74753 2.478609 5.55 0.000 8.889548 18.60552
imp_dum_7 | 11.26567 1.837679 6.13 0.000 7.663891 14.86746
imp_dum_8 | 7.8649 1.015164 7.75 0.000 5.875214 9.854585
imp_dum_9 | -.9851897 .4389226 -2.24 0.025 -1.845462 -.1249172
imp_dum_10 | .5288706 .1707211 3.10 0.002 .1942633 .8634778
imp_dum_11 | -.7043201 .3777703 -1.86 0.062 -1.444736 .036096
imp_dum_12 | .6716981 .1650034 4.07 0.000 .3482973 .9950988
imp_dum_13 | 5.415667 .9256168 5.85 0.000 3.601492 7.229843
imp_dum_14 | 0 (omitted)
imp_dum_15 | -7.65986 1.193812 -6.42 0.000 -9.999689 -5.320032
imp_dum_16 | -2.433565 .3906172 -6.23 0.000 -3.199161 -1.66797
imp_dum_17 | .2324094 .3041389 0.76 0.445 -.363692 .8285108
imp_dum_18 | 0 (omitted)
imp_dum_19 | 7.034955 1.11339 6.32 0.000 4.852752 9.217159
imp_dum_20 | 1.374118 .1261484 10.89 0.000 1.126871 1.621364
imp_dum_21 | 0 (omitted)
year_dum_1 | -5.928018 .7428856 -7.98 0.000 -7.384047 -4.471989
year_dum_2 | -4.22082 .4336887 -9.73 0.000 -5.070834 -3.370805
year_dum_3 | -3.146946 .3117169 -10.10 0.000 -3.7579 -2.535993
year_dum_4 | -2.767452 .3284705 -8.43 0.000 -3.411243 -2.123662
year_dum_5 | -2.730146 .2648513 -10.31 0.000 -3.249245 -2.211047
year_dum_6 | -2.16234 .2149933 -10.06 0.000 -2.58372 -1.740961
year_dum_7 | -1.98349 .2716086 -7.30 0.000 -2.515834 -1.451147
year_dum_8 | -1.518698 .2574354 -5.90 0.000 -2.023262 -1.014134
year_dum_9 | -1.521982 .2192202 -6.94 0.000 -1.951646 -1.092318
year_dum_10 | -.6910147 .3172665 -2.18 0.029 -1.312846 -.0691838
year_dum_11 | -.2972755 .2320943 -1.28 0.200 -.7521721 .157621
year_dum_12 | -.1959205 .2757415 -0.71 0.477 -.7363638 .3445229
year_dum_13 | .0348227 .2898825 0.12 0.904 -.5333365 .6029819
year_dum_14 | -.1734793 .1493608 -1.16 0.245 -.466221 .1192624
year_dum_15 | .1952659 .3456458 0.56 0.572 -.4821874 .8727191
year_dum_16 | .1519303 .2952438 0.51 0.607 -.4267369 .7305976
year_dum_17 | -.0171544 .2447286 -0.07 0.944 -.4968136 .4625048
year_dum_18 | -.1144079 .1458738 -0.78 0.433 -.4003152 .1714994
year_dum_19 | -.0654412 .1602286 -0.41 0.683 -.3794834 .248601
year_dum_20 | -.0573402 .0842962 -0.68 0.496 -.2225578 .1078773
year_dum_21 | .0873872 .1268624 0.69 0.491 -.1612585 .3360329
year_dum_22 | .2555083 .1591663 1.61 0.108 -.0564519 .5674685
year_dum_23 | 0 (omitted)
year_dum_24 | 0 (omitted)
_cons | -88.22315 19.91845 -4.43 0.000 -127.2626 -49.18371
------------------------------------------------------------------------------
.
The dependent variable is trade value, the key variable is regional trade intensity index (TII) between Egypt and COMESA member states, and the control variables are GDP, ln Distance, comlng, comcol, cointg and exixtance of RTA and so on.
In group estimates I control for the 21 importing countries FE and the 24 year FE. (21 destinations and 24years, 504 obs)
I run the ppml command even before including the TII variable of interest just the traditiona model to check my understanding before going on (ppmlhdfe to account for time series fixed effect if i correctly understand), also i use the product of gdp for the two countries (destination and origination) instead separate gdp for each alone. however results were:
- some of them inconsistent with the theory (contig was negative sign)
- very large number of coefficients
- all tests statistics seems incorrect.
I tried using once ppml and once ppmlhdfe, also once using fixed effect's dummies for importers and once using fixed effects for both importers' dummies and years dummies. i generated only dummies for importers and years not exproters as Egypt is the only exporter the interest country. trade data used is tradeflow_baci from baci (defined as a combination of both trade from from originating and destination countries from comtrade)
it is my fist time running gravity and use stata ( i have read the gravity stata tutorial and the log gravity paper attached earlier)
Here is the Stata coding & Group result:
egen years = group (year)
tabulate years, generate (year_dum_)
drop importer imp_dum_1
egen importer = group ( iso3_d)
tabulate importer, generate (imp_dum_)
gen gdp_both = gdp_o*gdp_d
ppml tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* , cluster (dist)
ppml tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* year_dum_* , cluster (dist)
ppmlhdfe tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* , cluster (dist)
ppmlhdfe tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* year_dum_* , cluster (dist)
results
ppmlhdfe tradeflow_baci ln_dist gdp_both contig comlang_off comcol col45 fta_wto imp_dum_* year_dum_* , cluster (dist)
note: 6 variables omitted because of collinearity: comcol col45 imp_dum_14 imp_dum_18 imp_dum_21 year_dum_24
(simplex method dropped 44 separated observations)
note: 2 variables omitted because of collinearity: imp_dum_5 year_dum_23
Iteration 1: deviance = 1.4594e+07 eps = . iters = 1 tol = 1.0e-04 min(eta) = -3.33 P
Iteration 2: deviance = 8.0351e+06 eps = 8.16e-01 iters = 1 tol = 1.0e-04 min(eta) = -5.31
Iteration 3: deviance = 6.7562e+06 eps = 1.89e-01 iters = 1 tol = 1.0e-04 min(eta) = -7.31
Iteration 4: deviance = 6.5399e+06 eps = 3.31e-02 iters = 1 tol = 1.0e-04 min(eta) = -9.05
Iteration 5: deviance = 6.5029e+06 eps = 5.69e-03 iters = 1 tol = 1.0e-04 min(eta) = -10.38
Iteration 6: deviance = 6.4981e+06 eps = 7.43e-04 iters = 1 tol = 1.0e-04 min(eta) = -11.10
Iteration 7: deviance = 6.4978e+06 eps = 3.65e-05 iters = 1 tol = 1.0e-04 min(eta) = -11.29
Iteration 8: deviance = 6.4978e+06 eps = 1.93e-07 iters = 1 tol = 1.0e-05 min(eta) = -11.30
Iteration 9: deviance = 6.4978e+06 eps = 7.49e-12 iters = 1 tol = 1.0e-06 min(eta) = -11.30 S O
------------------------------------------------------------------------------------------------------------
(legend: p: exact partial-out s: exact solver h: step-halving o: epsilon below tolerance)
Converged in 9 iterations and 9 HDFE sub-iterations (tol = 1.0e-08)
warning: missing F statistic; dropped variables due to collinearity or too few clusters
PPML regression No. of obs = 460
Residual df = 20
Statistics robust to heteroskedasticity Wald chi2(44) = .
Deviance = 6497837.661 Prob > chi2 = .
Log pseudolikelihood = -3251090.571 Pseudo R2 = 0.9359
Number of clusters (dist) = 21
(Std. Err. adjusted for 21 clusters in dist)
------------------------------------------------------------------------------
| Robust
tradeflow_~i | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_dist | 11.39495 2.316592 4.92 0.000 6.854511 15.93538
gdp_both | -5.92e-18 1.30e-17 -0.45 0.650 -3.15e-17 1.96e-17
contig | 3.871812 .8481098 4.57 0.000 2.209548 5.534077
comlang_off | 13.8791 2.297996 6.04 0.000 9.375107 18.38309
comcol | 0 (omitted)
col45 | 0 (omitted)
fta_wto | .0419435 .350196 0.12 0.905 -.6444281 .7283151
imp_dum_1 | 4.24781 .8169043 5.20 0.000 2.646707 5.848913
imp_dum_2 | 3.172436 .5699914 5.57 0.000 2.055274 4.289599
imp_dum_3 | -15.55345 2.085441 -7.46 0.000 -19.64083 -11.46606
imp_dum_4 | -4.002251 .5444245 -7.35 0.000 -5.069304 -2.935199
imp_dum_5 | 0 (omitted)
imp_dum_6 | 13.74753 2.478609 5.55 0.000 8.889548 18.60552
imp_dum_7 | 11.26567 1.837679 6.13 0.000 7.663891 14.86746
imp_dum_8 | 7.8649 1.015164 7.75 0.000 5.875214 9.854585
imp_dum_9 | -.9851897 .4389226 -2.24 0.025 -1.845462 -.1249172
imp_dum_10 | .5288706 .1707211 3.10 0.002 .1942633 .8634778
imp_dum_11 | -.7043201 .3777703 -1.86 0.062 -1.444736 .036096
imp_dum_12 | .6716981 .1650034 4.07 0.000 .3482973 .9950988
imp_dum_13 | 5.415667 .9256168 5.85 0.000 3.601492 7.229843
imp_dum_14 | 0 (omitted)
imp_dum_15 | -7.65986 1.193812 -6.42 0.000 -9.999689 -5.320032
imp_dum_16 | -2.433565 .3906172 -6.23 0.000 -3.199161 -1.66797
imp_dum_17 | .2324094 .3041389 0.76 0.445 -.363692 .8285108
imp_dum_18 | 0 (omitted)
imp_dum_19 | 7.034955 1.11339 6.32 0.000 4.852752 9.217159
imp_dum_20 | 1.374118 .1261484 10.89 0.000 1.126871 1.621364
imp_dum_21 | 0 (omitted)
year_dum_1 | -5.928018 .7428856 -7.98 0.000 -7.384047 -4.471989
year_dum_2 | -4.22082 .4336887 -9.73 0.000 -5.070834 -3.370805
year_dum_3 | -3.146946 .3117169 -10.10 0.000 -3.7579 -2.535993
year_dum_4 | -2.767452 .3284705 -8.43 0.000 -3.411243 -2.123662
year_dum_5 | -2.730146 .2648513 -10.31 0.000 -3.249245 -2.211047
year_dum_6 | -2.16234 .2149933 -10.06 0.000 -2.58372 -1.740961
year_dum_7 | -1.98349 .2716086 -7.30 0.000 -2.515834 -1.451147
year_dum_8 | -1.518698 .2574354 -5.90 0.000 -2.023262 -1.014134
year_dum_9 | -1.521982 .2192202 -6.94 0.000 -1.951646 -1.092318
year_dum_10 | -.6910147 .3172665 -2.18 0.029 -1.312846 -.0691838
year_dum_11 | -.2972755 .2320943 -1.28 0.200 -.7521721 .157621
year_dum_12 | -.1959205 .2757415 -0.71 0.477 -.7363638 .3445229
year_dum_13 | .0348227 .2898825 0.12 0.904 -.5333365 .6029819
year_dum_14 | -.1734793 .1493608 -1.16 0.245 -.466221 .1192624
year_dum_15 | .1952659 .3456458 0.56 0.572 -.4821874 .8727191
year_dum_16 | .1519303 .2952438 0.51 0.607 -.4267369 .7305976
year_dum_17 | -.0171544 .2447286 -0.07 0.944 -.4968136 .4625048
year_dum_18 | -.1144079 .1458738 -0.78 0.433 -.4003152 .1714994
year_dum_19 | -.0654412 .1602286 -0.41 0.683 -.3794834 .248601
year_dum_20 | -.0573402 .0842962 -0.68 0.496 -.2225578 .1078773
year_dum_21 | .0873872 .1268624 0.69 0.491 -.1612585 .3360329
year_dum_22 | .2555083 .1591663 1.61 0.108 -.0564519 .5674685
year_dum_23 | 0 (omitted)
year_dum_24 | 0 (omitted)
_cons | -88.22315 19.91845 -4.43 0.000 -127.2626 -49.18371
------------------------------------------------------------------------------
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