Thanks to Kit Baum, appmlhdfe is now available on SSC.
The new command estimates exponential conditional expectiles using Efron's (1992) asymmetric Poisson maximum likelihood estimator; appmlhdfe is based on the powerful ppmlhdfe command by Correia et al. (2019), which needs to be installed for appmlhdfe to run.
Like quantile regression, conditional expectiles provide information on how the regressors affect different regions of the conditional distribution of the outcome of interest, but are easier to estimate and to interpret when the outcome is non-negative and has a mass-point at zero (as in trade flows or expenditures). This paper provides more details on the estimation of exponential expectile regressions and uses the command to estimate the heterogeneous effects of free trade agreements.
Please do let me know if you find any problems with the new command or if you have suggestions to improve it.
Joao
References
Bergstrand, J.H., Clance, M.W., & Santos Silva, J.M.C. (2025). The Tails of Gravity: Using Expectiles to Quantify the Trade-Margins Effects of Economic Integration Agreements, DP 01/25, University of Surrey.
Correia, S., Guimaraes, P., & Zylkin, T. (2020). Fast Poisson Estimation with High-dimensional Fixed Effects, Stata Journal, 20(1), 95-115.
Efron, B. (1992). Poisson Overdispersion Estimates Based on the Method of Asymmetric Maximum Likelihood, Journal of the American Statistical Association, Vol. 87, No. 417, 98-107.
The new command estimates exponential conditional expectiles using Efron's (1992) asymmetric Poisson maximum likelihood estimator; appmlhdfe is based on the powerful ppmlhdfe command by Correia et al. (2019), which needs to be installed for appmlhdfe to run.
Like quantile regression, conditional expectiles provide information on how the regressors affect different regions of the conditional distribution of the outcome of interest, but are easier to estimate and to interpret when the outcome is non-negative and has a mass-point at zero (as in trade flows or expenditures). This paper provides more details on the estimation of exponential expectile regressions and uses the command to estimate the heterogeneous effects of free trade agreements.
Please do let me know if you find any problems with the new command or if you have suggestions to improve it.
Joao
References
Bergstrand, J.H., Clance, M.W., & Santos Silva, J.M.C. (2025). The Tails of Gravity: Using Expectiles to Quantify the Trade-Margins Effects of Economic Integration Agreements, DP 01/25, University of Surrey.
Correia, S., Guimaraes, P., & Zylkin, T. (2020). Fast Poisson Estimation with High-dimensional Fixed Effects, Stata Journal, 20(1), 95-115.
Efron, B. (1992). Poisson Overdispersion Estimates Based on the Method of Asymmetric Maximum Likelihood, Journal of the American Statistical Association, Vol. 87, No. 417, 98-107.
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