Fitting exponential regression models with two-way fixed effects

In this article, we introduce the commandstwexpandtwgravity, which implement the estimators developed in Jochmans (2017,Review of Economics and Statistics99: 478-485) for exponential regression models with two-way fixed effects.twexpis applicable to genericnxmpanel data.twgravityis written for the special case where the dataset is a cross-section on dyadic interactions betweennagents. A prime example is cross-sectional bilateral trade data, where the model of interest is a gravity equation with importer and exporter effects. Bothtwexpandtwgravitycan deal with data wherenandmare large, that is, where there are many fixed effects. These commands use Mata and are fast to execute.