Abstract
This paper focuses on the modelling of bilateral intra-industry trade indexes with panel data, applying a semiparametric approach. This extends the work of Papke and Wooldridge (J Econom 145:121–133, 2008) for fractional responses, by introducing a nonparametric component to control for unobserved heterogeneity associated with the regressors. The proposed approach is based on the semi-mixed effects generalised linear model of Lombardía and Sperlich (Comput Stat Data Anal 56:2903–2917, 2012), introduced in the context of small area statistics, and the semiparametric gravity model of Proença et al. (Empir Econ doi:10.1007/s00181-014-0891-x, 2014). The resulting nonlinear semiparametric model serves to explain the bilateral intra-industry trade indexes between Portugal and the European Union, the BRIC emerging economies, and the five Portuguese-speaking African countries.
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Notes
Economically, it is reasonable to set the value of this constant equal to 0.15, and this is the option taken in this study. This is the option that is also followed in the large majority of studies.
Concurvity is the nonparametric analogue of multicollinearity and it occurs in an additive model when a nonparametric function estimate is well approximated by the other nonparametric function terms. For more details see Härdle et al. (2004).
Intercepts of the parametric and semiparametric regressions cannot be compared.
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Acknowledgments
The authors would like to acknowledge financial support from the FCT (Fundação para a Ciência e Tecnologia) through the PEst-OE/EGE/UI0491/2013 programme. They are also grateful for the comments of the participants of the conference on Applicable Semiparametrics, 2013, and of the seminars of the UrbanEcon group of ISEG. Special thanks are due for the comments of two anonymous referees and also those of the associate editor.
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Proença, I., Faustino, H.C. Modelling bilateral intra-industry trade indexes with panel data: a semiparametric approach. Comput Stat 30, 865–884 (2015). https://doi.org/10.1007/s00180-015-0556-z
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DOI: https://doi.org/10.1007/s00180-015-0556-z