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estimate

Function

estimate()

Description

The method estimate performs a sector-by-sector GLM estimation based on a Poisson distribution with data diagnostics that help increase the likelihood of convergence. If sector_by_sector is specified, the routine is repeated for each sector individually, estimating a separate model each time. The estimate routine inherits all specifications from those supplied to the EstimationModel. The routine follows several steps.

  1. Creates Fixed effects: Fixed effects are created based on the EstimationModel specification.

  2. Pre-Diagnostics: Several steps are taken to increase the likelihood that the estimation will converge successfully. Click here to technical details.

    • Perfect Colinearity: Columns and observations that are perfectly collinear are identified and excluded.
    • Insufficient Variation: Variables in which there is an insufficient level of variation for estimation are excluded. These are typically cases in which a country does not import or export at all for a given level of fixed effect.

  3. Estimate: Estimation is run using GLM.fit in statsmodels for the Poisson family distribution. Robust standard errors are computed using the HC1 version of the Huber-White estimator for heteroscedasticity consistent covariance matrix.

  4. Post-Diagnostics: A test for over-fit values as in Santos Silva and Tenreyro (2011).

  5. Results: The method returns EstimationModel.results_dict and stores two others (EstimationModel.ppml_diagnostics and EstimationModel.modified_data) as attributes of the EstimationModel.

    1. EstimationModel.results_dict: This is a dictionary of results objects from the statsmodels GLM.fit routine, each keyed using either the name of the sector if the estimation was sector-by-sector (i.e. sector_by_sector = True) or with the key 'all' if not. It is both returned and stored as EstimationModel.results_dict.1

    2. EstimationModel.ppml_diagnostics: A data frame containing a column of pre- and post-diagnostic information for each regression

    3. EstimationModel.modified_data: A dictionary using the same keys as results_dict, each containing the modified DataFrames created during the pre-diagnostic stages of the estimations. Because of the large memory footprint of this assignment, storing it is optional and only done if specified (i.e. EstimationModel.retain_modified_data = True)

Example

# Create fixed effects and specify sector by sector estimation
>>> gme_data = gme.EstimationData(data_frame = sample_data,
                              imp_var_name = 'importer',
                              exp_var_name = 'exporter',
                              sector_var_name = 'sector'
                              trade_var_name = 'trade_value',
                              year_var_name = 'year')

>>> sample_estimation_model = gme.EstimationModel(estimation_data = gme_data, 
                                                lhs_var = 'trade_value', 
                                                rhs_var = ['log_distance','agree_pta','common_language','contiguity'], 
                                                fixed_effects = ['importer', 'exporter'], 
                                                keep_years = [2013, 2014, 2015],
                                                sector_by_sector = True)

# Estimate the model
>>> sample_estimation_model.estimate()

# Generate post-diagnostics
>>> diag = sample_estimation_model.ppml_diagnostics
>>> print(diag)
Overfit Warning                                                                 No
Collinearities                                                                  No
Number of Columns Excluded                                                       3
Perfectly Collinear Variables                                                   []
Zero Trade Variables             [importer_fe_IRN, importer_fe_LBY, importer_fe...

# Extract the results to a new data frame and save to a .csv
>>> results_dictionary = sample_estimation_model.results_dict("c:\folder\saved_results.csv")

  1. For more details about the statsmodels results object, see http://www.statsmodels.org/0.6.1/generated/statsmodels.genmod.generalized_linear_model.GLMResults.html. ↩