Questions tagged [fixed-effects]

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Clustering of standard errors in Fixed Effects models

Why is there still a block structure in the covariance-variance matrix, and consequently a need for clustering of standard errors in fixed-effects models? Shouldn't demeaning solve the serial ...
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1answer
33 views

How to get the bias-adjusted variance estimates for high-dimensional fixed effects in a linear model?

I want to do a linear regression: $y_{i}=\psi_{j(i)}+X_{i}^{\prime} \xi+\varepsilon_{i}$, where $\psi_{j(i)}$ is a high dimensional fixed effect on group $j$, $X_i$ are the covariables of each ...
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1answer
226 views

What are the difference between industry fixed effects and industry*year fixed effects?

In this paper, in column 4 Table 1, the author used firms fixed effects and industry*year fixed effect at the same time. I have two questions here: What does industry * year fixed effect mean? What ...
3
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1answer
33 views

Fixed effects vs first difference

Or more generally, what are the reasons for the absolute dominance of the fixed effects estimators to control for unobserved heterogeneity in large N, short T panel settings? I get that random effects ...
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6 views

How to interpret fixed effects from a binary logit model in which all dependent variables are categorical? Marginal effects does not work

The study is on survey data from UK households with a lot of missing variables. I ran a logit regression to predict the probability of Y (binary variable)and estimated the corresponding marginal ...
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1answer
132 views

A revisit to simple DID and Generalised DID

After a couple of questions being asked, I am curious about the inclusion of Post and Treat variable in a simple DID (two groups two-time period). We mainly know there are mainly two types of DID ...
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0answers
29 views

Asking for the exception of unparallel trend in DID testing

When reading this paper, The Common Trends Assuption section, p.457, I saw a paragraph: Researchers, however, must also think carefully about the conceptual reasons for which the common trends ...
2
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1answer
68 views

Why we need to add firm and year relating independent variables in two-way fixed effect model?

From what I know, these terms are very basic in econometrics but I still not yet fully got it. To me, year fixed effect is to control time-variant omitted variables and firm fixed effect is to control ...
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1answer
101 views

Why we need to control for the interation of year and industry fixed effects?

Normally, we control for firm and year fixed effects, but in some case I saw people control for the firm along with yearxindustry or firm and yearxregion fixed effects. Could you please hint me why ...
3
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1answer
58 views

How to interpret fixed effects?

I want to interpret the output of a fixed effects regression and need help with interpreting the country-fixed effects. The regression is the following: ...
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0answers
29 views

Could a time series be a pooled OLS?

Hello to everyone on the forum, I am currently working with intraday electricity price data. In the electricity market each hour is considered as a different product, because the demand and production ...
3
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1answer
118 views

Identification of firm-worker fixed effect wage equation

Consider the traditional AKM model where $$ Y_{it}=X_{it}\beta+\psi_{j(i,t)}+\epsilon_{it} $$ for $i=1,...,N$ (individual index), $t=1,...,T$ (time index), $j=1,...,J$ (firm index), and $j(i,t)$ is ...
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29 views

How to calculate semi elasticity in fixed effect model with interaction

Given the model specification $$Y_{it} = \beta_1 X_{it} + \beta_2 D*X_{it} + FE_{i} + e_{it}$$ The above model specification is a Fixed effect model with interaction term ($X_{it}$ interacting with D- ...
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0answers
16 views

Coefficient omitted due to time fixed effect and multi-collinearity

I am working on a research paper (my first one) where I am dealing with company level unbalanced panel data. There are broadly two types of control variables in the study - a) firm level control ...
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0answers
13 views

Interaction term between lagged and non lagged variable Fixed/Random effect model

I am analyzing a panel dataset. I am wondering if I could use an interaction of a lagged variable ( one time step behind) and a non lagged variable ( both continuos indipendent variables) and still ...
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1answer
315 views

R's felm() fixed effects vs. factor() within lm()

I am wondering why using felm's fixed effect option versus using the factor() function is different? I was under the impression they were one in the same? I am running a panel regression where i is ...
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1answer
71 views

Fixed Effects Model Interpretation

$$\ln(\text{pay})_{itj}= \alpha_{ij} + \beta\ln(\text{performance})_{jt} + \gamma X_{ijt} + T_t + ε_{ijt}$$ This fixed effects model was used to investigate the link between pay-performance throughout ...
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1answer
116 views

Age effect when controling for individual fixed effects and time fixed effects

I have a individual-by-year panel. Although age is varying within an individual, its variation is fully absorbed when I include individual fixed effects and time fixed effects. This is because each ...
3
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1answer
97 views

How to choose between fixed and random effects using economic intuition?

In class, our professor said that when it comes to deciding between estimating panel regression with fixed and random effects we should not just blindly follow the Hausman test, but also think about ...
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1answer
199 views

Log log regression with fixed effects and cross elasticity of demand

I have a time series of units sold, and price. I'd like to calculate elasticity of demand wrt to price and a few other variables, some of them are fixed effects. ...
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0answers
17 views

Impactful fixed-effect identification with open data

For a replication project, I am looking for impactful (and ideally somewhat recent) papers that use fixed-effects as their main identification strategy and make their data publicly available. By ...
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0answers
54 views

How can I add fixed-effect constant variable in Stata?

I want to test a model like this: alpha denotes full set of country fixed effects and delta denotes full set of year fixed effects in the article in which this model is used. My model is similar to ...
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1answer
355 views

Linear Probability Model Instead of Logit in Fixed Effects Regression

In our panel data analysis we estimated a fixed effects linear probability model (LPM) instead of a fixed effects logit regression because our sample size was quite small (600 individuals) and the ...
0
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1answer
41 views

How to determine correct fixed effects in linear regression model using unbalanced paneldata

I am currently working on a research project regarding the introduction of mandatory earnings guidance regulation in multiple countries within a time span of 10 years (staggered adoption). As I can ...
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1answer
65 views

Fixed-Effects on individual level with explanatory variable on state level

I am planing a panel data analysis evaluating a continuous policy intervention. I do have individual level data. I would like to account for individual fixed-effects. However, the explanatory variable ...
0
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1answer
265 views

Fixed Effects Estimation and Inconsistency

Consider estimation of the following population regression function: $G{Y_{it}} = {\beta _0} + {\beta _1}IN{F_{it}} + {\beta _2}DE{M_i} + {\beta _3}POI{L_t} + {\varepsilon _{it}}$ Where: $GY_{it}$ = ...
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0answers
23 views

Publishing fixed and random effects in one model

I am a health economist working with panel data for a paper I am working on, I use Hausman tests to determine if I should use fixed or random effects estimators in my analysis. For some outcomes ...
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0answers
25 views

Group-level random effect correlated with within-group independent variable

Dear StackExchange community, Question: According to, e.g., Wikipedia, random effects models assume "that the individual specific effects are uncorrelated with the independent variables." I ...
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0answers
22 views

Random effect Vs Fixed effect with the 10 CAN provs as cross sections

Im working on a model examining the effect of minimum wages on employment over the 10 provinces using a panel data set. I have used the Hausman test to decide to use RE or FE, in which it recommended ...
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0answers
28 views

Panel data: When can I used random effects instead of fixed effects? Are control variables necessary?

I have panel data for individuals in an economy that experienced fluctuations in employment levels. I also have some health information for these individuals, BMI, self-rated health etc., My ...
2
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0answers
173 views

Fixed vs Random effects in panel data

I am an economist interested in looking at panel data on mothers, their husbands and their grandparents to determine the effect of the economic shock of the recession on their self-reported health ...
2
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1answer
261 views

Count panel models for endogenous regressors

I have a count variable as the dependent variable and several continuous regressors on the RHS. The dependent variable and some regressors are supposed to be endogenous to unobserved factors. I have a ...
2
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3answers
135 views

A question about Fixed effects estimation

I have a fixed effects model as follows: $Y = x_1, x_2, x_3$, (fixed effect), (error term) Is there any way I can check whether Cov($x_1$, (fixed effect)) is larger or smaller than 0? The panel ...
2
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2answers
176 views

Year effects inconsistent between random effects and fixed effects

I am running a panel data estimation, where I am including year effects. My goal is to see if there is a time trend in the data, after controlling for other factors. Using random effects, I find the ...
0
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1answer
482 views

using LOG in a econometric model

I am a beginner at econometrics and I have to build a model explaining scholing (as dependent variable) by migration (independent variable) and a couple of covariables. I'm going to use fixed effects ...
2
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0answers
109 views

Accounting for Fixed Effects

I am an undergraduate student working on environmental economics research. The econometric specification I am using is the following: ln(Per.Capita.Dollars) = ln(Per.Capita.Dollars.lag) + Average....
3
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3answers
393 views

Intuition behind fixed effects estimator

I understand that the fixed effects estimator in a panel model (say, individuals, $i$ across years, $t$) can be understood either as a including a dummy for each $i$ or running OLS on the time demean-...
2
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1answer
247 views

Fixed effects, first differences interpretation

I am working with a fixed effects model to estimate the effect of enterprise zones on unemployment claims. (1) $log(uclms_{it}) = \theta_t + \beta_1 ez_{it} + c_i + \epsilon_{it} $ where $\theta_t$ ...
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0answers
450 views

How can I test for autoregressive residual terms in a fixed effects panel Poisson model?

I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
2
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1answer
76 views

Fixed effects in treatment model

Hello in a simple treatment model $$y=\beta_0+\beta_1w+e$$ where $w$ is unity for treatment by group. Should you add dummies for the groups to control for differences. I read somewhere that you ...