Dear all,
I'm estimating the gravity model. My data is panel data. My dependent variable is trade volume. After I have read a number of literature review, especially papers of Prof Santos Silva, J.M.C. So, I decide to use PPML. I use the STATA command - xtpoisson - and add the option - fe -. And, the result is quite good since many independent variables are significant. However, I still confuse some issues as follows:
1. Since the gravity model is generally presented in a nonlinear form and can be presented in a linear form by taking logarithm. So, do I need to check the multicollinearity problem?
2. Since my data is panel data, contained 194 countries and 19 years, do I need to check the autocorrelation problem?
3. I try to add the option vce(robust) in the STATA command -xtpoisson dependent var independent var, fe -. However, I found that the standard error is larger. As far as I know, after correcting SE, the SE should be smaller. So, should I add the option - vce(robust) after -xtpoisson dependent var independent var, fe ?
4. I try to use RESET test following some guidance presented at http://personal.lse.ac.uk/tenreyro/lgw.html. However, if I don't correct SE, the result always shows that the model is not appropriate (Reject H0). And, if I correct SE, the result shows that the model is appropriate. However, as I mention in the number 3, SE become larger after using the option vce(robust). So, do I need to test for model specification by using RESET test. And are there any test that can I use instead of RESET test?
5. If I want to compare the result performance of PPML and Negative Binomial PML, how can I do that? Can I use "hpc test"? Or, are there any test can do that?
Many thanks in advance
Regards
BT
I'm estimating the gravity model. My data is panel data. My dependent variable is trade volume. After I have read a number of literature review, especially papers of Prof Santos Silva, J.M.C. So, I decide to use PPML. I use the STATA command - xtpoisson - and add the option - fe -. And, the result is quite good since many independent variables are significant. However, I still confuse some issues as follows:
1. Since the gravity model is generally presented in a nonlinear form and can be presented in a linear form by taking logarithm. So, do I need to check the multicollinearity problem?
2. Since my data is panel data, contained 194 countries and 19 years, do I need to check the autocorrelation problem?
3. I try to add the option vce(robust) in the STATA command -xtpoisson dependent var independent var, fe -. However, I found that the standard error is larger. As far as I know, after correcting SE, the SE should be smaller. So, should I add the option - vce(robust) after -xtpoisson dependent var independent var, fe ?
4. I try to use RESET test following some guidance presented at http://personal.lse.ac.uk/tenreyro/lgw.html. However, if I don't correct SE, the result always shows that the model is not appropriate (Reject H0). And, if I correct SE, the result shows that the model is appropriate. However, as I mention in the number 3, SE become larger after using the option vce(robust). So, do I need to test for model specification by using RESET test. And are there any test that can I use instead of RESET test?
5. If I want to compare the result performance of PPML and Negative Binomial PML, how can I do that? Can I use "hpc test"? Or, are there any test can do that?
Many thanks in advance
Regards
BT
