econometrics · Julian Hinz

glmhdfe

Julian Hinz — Wed, 20 Mar 2019 00:00:00 +0000

The R package glmhdfe implements a fast estimation procedure of generalized linear models with high dimensional fixed effects. The package makes use of a convenient property of some combinations of error term distributions and link functions, where the fixed effects have — conditional on all other estimated parameters — an explicit solution.

Install from GitHub via the remotes package:


install.packages("remotes")
remotes::install_github("julianhinz/R_glmhdfe")

For more details and usage examples check out the R_glmhdfe GitHub repository and the technical note.

Firm-level Gravity with Fixed Effects

Uğur Aytun — Fri, 19 Apr 2024 00:00:00 +0000

This paper introduces a new method for estimating gravity equations at the firm level by leveraging both firm and country-level trade data. By constructing a flexible estimation strategy that accounts for firm-level and country-level characteristics, in particular for multilateral resistances at origin and destination, we offer a novel approach to measure the impact of policy changes such as tariffs, sanctions, etc., on trade flows. Through a series of simulations and replications of established firm-level gravity estimations, we validate the robustness of our methodology. Our findings not only contribute to the empirical trade literature by providing a more precise analytical tool but also have significant policy implications, highlighting the heterogeneous effects of economic policies on firms within and across countries.

Brothers in arms: The value of coalitions in sanctions regimes

Sonali Chowdhry — Mon, 15 Apr 2024 00:00:00 +0000

Incurred and imposed welfare costs of the 2014 Russia sanctions.

This paper examines the impact of coalitions on the economic costs of the 2012 Iran and 2014 Russia sanctions. By estimating and simulating a quantitative general equilibrium trade model under different coalition setups, we (i) dissect welfare losses for sanctions senders and target; (ii) compare prospective coalition partners; (iii) investigate “optimal” coalitions that maximise payoff from sanctions; (iv) provide bounds for sanctions potential, i.e. the maximum welfare change attainable when sanctions are scaled vertically up to an embargo, and horizontally up to a global regime. Relative to unilateral action, we find that coalitions magnify welfare losses imposed while their impact on domestic welfare loss incurred depends on the design and sectoral dimension of sanctions. Hypothetical cooperation of large developing economies such as China additionally raises the deterrent force of coalitions. Additionally, we quantify transfers that equalise welfare losses across coalition members to further demonstrate asymmetries in the relative economic burden of sanctions. In all scenarios, we implement a novel Bayesian bootstrap procedure that generates confidence bands for simulation outcomes.

Après-ski: The Spread of Coronavirus from Ischgl through Germany

Gabriel Felbermayr — Tue, 30 Nov 2021 00:00:00 +0000

Observed vs. counterfactual confirmed cases on May 9, 2020.

The Austrian ski resort of Ischgl is commonly claimed to be ground zero for the diffusion of the SARS-CoV-2 virus across Germany. Drawing on data for 401 German counties, we find that conditional on geographical latitude and testing behavior by health authorities, road distance to Ischgl is indeed an important predictor of infection cases, but — in line with expectations — not of fatality rates. Were all German counties located as far from Ischgl as the most distant county of Vorpommern-Rügen, Germany would have seen about 48% fewer COVID-19 cases. A simple diffusion model predicts that the absolute value of the distance-to-Ischgl elasticity should fall over time when inter- and intra-county mobility are unrestricted. We test this hypothesis and conclude that the German lockdown measures have halted the spread of the virus.

State Dependence and Unobserved Heterogeneity in the Extensive Margin of Trade

Julian Hinz — Tue, 06 Jul 2021 00:00:00 +0000

Determinants of the Extensive Margin of Trade — Gravity and Persistence.

We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary choice models and study the corresponding incidental parameter problem. The standard maximum likelihood estimator is consistent under asymptotics where all panel dimensions grow at a constant rate, but it has an asymptotic bias in its limiting distribution, invalidating inference even in situations where the bias appears to be small. Thus, we propose two different bias-corrected estimators. Monte Carlo simulations confirm their desirable statistical properties. We apply these estimators in a reassessment of the most commonly studied determinants of the extensive margin of trade. Both true state dependence and unobserved heterogeneity contribute considerably to trade persistence and taking this persistence into account matters significantly in identifying the effects of trade policies on the extensive margin.

Worth the pain? Firms' exporting behaviour to countries under sanctions

Matthieu Crozet — Sun, 31 Jan 2021 00:00:00 +0000

Evolution of number of firms in face of sanctions.

How do exporting firms react to sanctions? Specifically, which firms are willing — or capable — to serve the market of a sanctioned country? We investigate this question for four sanctions episodes using monthly data on the universe of French exporting firms. We draw on recent econometric advances in the estimation of dynamic fixed effects binary choice models. We find that the introduction of new sanctions in Iran and Russia significantly lowered firm-level probabilities of serving these sanctioned markets, while the (temporary) lifting of the U.S. sanctions on Cuba and the removal of sanctions against Myanmar had no or only small trade-inducing effects, respectively. Additionally, the impact of sanctions is very heterogeneous along firm dimensions and by case particularities. Firms that depend more on trade finance instruments are more strongly affected, while prior experience in the sanctioned country considerably softens the blow of sanctions, and firms can be partly immune to the sanctions effect if they are specialized in serving “crisis countries”. Finally, we find suggestive evidence for sanctions avoidance by exporting indirectly via neighboring countries.

Separating the Wheat from the Chaff: Fast Estimation of GLMs with High-Dimensional Fixed Effects

Julian Hinz — Fri, 15 Mar 2019 00:00:00 +0000

In this note we describe how the ﬁrst-order conditions of ﬁxed effects in certain generalized linear models display a very convenient form. This can be exploited to implement a very fast GLM estimator with high-dimensional ﬁxed effects, as we do in the R package glmhdfe.