ECON31703 Topics in Econometrics Project

Fixed Effects Estimation via Spatially Fused PPML

Reigner Kane, Linghui Wu

Repository Structure

• Writeup.pdf

• Code/ contains source code of the project

  • *.R constructs the adjacency matrics for residence and workplace census tracts, modifies the pglasso and genlasso packages, simulated the Monte Carlo DGP, estimates the fused lasso model and visualizes the estimates.

  • *.jl and *.sbatch estimates the fused ridge model.

  • *.do performs PPML gravity model estimation and draws maps of estimated fixed effects using the observed 2010 NYC commuting data.

• Data/

  • simulated_data stores data from Monte Carlo simulations where fixed effects in the DGP are constant and independently drawn from a normal distribution.

  • nyc2010_lodes_data used for real world application exceeds the GitHub limitation for the file size and is available upon request.

• Output/ contains point estimates from the fused PPML models with optimal penalty term.

• Plots/

  • RealData includes NYC maps of the estimated origin and destination fixed effects from real data.

  • SimulatedData includes figures that visualize the origin and destination fixed effects from the generated data.