Questions tagged [fixed-effects]
The fixed-effects tag has no usage guidance.
46
questions
2
votes
1answer
31 views
Fixed Effects with lagged dependent variable, how is the average calculated?
Suppose we have a panel of data in which we observe $N$ individuals for $T$ time periods. We want to estimate:
$$y_{it}= \delta y_{it-1}+x_{it}'\beta +\alpha_i +v_{it} $$
where $\alpha_i$ is a time-...
1
vote
0answers
10 views
When we should use SIC2 and SIC3 in fixed effect?
SIC is the industry classification. The definition of SIC from Bigelli, 2006 is
Due to the low numbers of firms in some industries, we use the most
detailed industry (SIC4) only if the number of ...
2
votes
0answers
14 views
How to deal when absorbed variables/FEs are collinear?
When using did_imputation (a Difference-in-Difference approach following Borusyak, 2021), I faced this problem
Could not run imputation for some observations because some absorbed
variables/FEs are ...
1
vote
0answers
15 views
Difference between "cohort fixed effects and state fixed effects" and "cohort and state fixed effects"?
This question is based on an earlier question of mine given here
i refer to the same paper as above: Card and Krueger (1992)
I have understood the rationale for use of "cohort and state fixed ...
3
votes
0answers
27 views
At what level should I cluster my standard errors and why?
I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
3
votes
1answer
52 views
Consistent estimation of fixed effects
Estimating firm fixed effects is very popular in labor economics.
I wonder why this is legit? The estimates shouldn't be consistent, the more firms we have the more parameters we have to estimate.
2
votes
2answers
42 views
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 ...
3
votes
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 ...
0
votes
1answer
746 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
votes
1answer
38 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 ...
0
votes
0answers
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 ...
0
votes
1answer
137 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 ...
0
votes
0answers
31 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
votes
1answer
71 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 ...
1
vote
1answer
120 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
votes
1answer
67 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:
...
0
votes
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
votes
1answer
120 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 ...
0
votes
0answers
32 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- ...
0
votes
0answers
19 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 ...
0
votes
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 ...
0
votes
1answer
441 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 ...
0
votes
1answer
74 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 ...
0
votes
1answer
221 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
votes
1answer
101 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 ...
1
vote
1answer
251 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.
...
0
votes
0answers
19 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 ...
0
votes
0answers
57 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 ...
1
vote
1answer
382 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
votes
1answer
43 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 ...
1
vote
1answer
68 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
votes
1answer
289 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:
$GY_{it}$ = ...
2
votes
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 ...
1
vote
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 ...
3
votes
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 ...
2
votes
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
votes
0answers
177 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
votes
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
votes
3answers
139 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
votes
2answers
182 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
votes
1answer
510 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
votes
0answers
110 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
votes
3answers
405 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
votes
1answer
252 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 $\theta_t$ ...
11
votes
0answers
455 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
votes
1answer
80 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 ...
