Arbeitspapier
Estimation of country-pair data models controlling for clustered errors: with international trade applications
We consider cross-section regression models for country-pair data, such as gravity models for trade volume between countries or models of exchange rate volatility, allowing for the presence of country-specific errors. This induces clustered errors in a nonstandard setting. OLS standard errors that ignore this clustering are greatly underestimated. Under the assumption of random country-specific effects we provide analytical results that permit more efficient GLS estimation even in settings where the number of unique country-pairs is very large. We include applications to international data on real exchange rates and on bilateral trade that provided the motivation for this paper. The results are more generally applicable to regression with paired data.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 06-13
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Other
Empirical Studies of Trade
Foreign Exchange
- Event
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Geistige Schöpfung
- (who)
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Cameron, A. Colin
Golotvina, Natalia
- Event
-
Veröffentlichung
- (who)
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University of California, Department of Economics
- (where)
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Davis, CA
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cameron, A. Colin
- Golotvina, Natalia
- University of California, Department of Economics
Time of origin
- 2005
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