Questions tagged [fixed-effects]
The fixed-effects tag has no usage guidance.
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Fixed time and individual effects
I have the following, small question. I have panel data and have played around with it a bit. In my first estimation (1) I assumed that the coefficient of union is biased and therefore wanted to ...
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Fixed time effects or fixed individual effects?
I have the following question or problem. I am currently using panel data to predict the hourly wage. I have only used the variable "union" as an influence variable from the initial model, ...
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How to estimate a subclass effect of fixed effect model?
i need help with an econometric question.
I have a panel data of stock analysts and their associated investment returns by following their investment recommendations of buy/hold/sell. The data is at ...
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Suitable econometric specification for my data
I'm playing around with my dataset and as a start, I want to understand whether the absenteeism and vaccination rates for employees across a large number of factories with separate units is dependent ...
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On adding fixed effects
Let $Y_{ijst}$ be some outcome variable of firm $i$ of industry $j$, located in state $s$, at time $t$. Normally, if we want to run any differences-in-differences specification where treatment varies ...
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Pooled OLS, fixed effects and random effects yield very similar results
I have used pooled OLS, fixed effects and random effects to estimate a model and the results are as expected. I expected coefficients to differ quite significantly for the different techniques and ...
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Cross validation as a means of validating fixed effects?
To test whether it is appropriate to even use certain types of fixed effects, would it ever be appropriate to use a cross-validation methodology? Let's say that I have this type of mental model:
$$\...
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Fixed Effects with lagged dependent variable, how is the average calculated?
Suppose we have a panel of data in which we observe $N$ individuals for $T$ time periods. We want to estimate:
$$y_{it}= \delta y_{it-1}+x_{it}'\beta +\alpha_i +v_{it} $$
where $\alpha_i$ is a time-...
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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 ...
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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 ...
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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 ...
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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 ...
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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.
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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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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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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 ...
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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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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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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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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 ...
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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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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}
$$
for $i=1,...,N$ (individual index), $t=1,...,T$ (time index), $j=1,...,J$ (firm index), and $j(i,t)$ is ...
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How to calculate semi elasticity in fixed effect model with interaction
Given the model specification
$$Y_{it} = \beta_1 X_{it} + \beta_2 D*X_{it} + FE_{i} + e_{it}$$
The above model specification is a Fixed effect model with interaction term ($X_{it}$ interacting with D- ...
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Coefficient omitted due to time fixed effect and multi-collinearity
I am working on a research paper (my first one) where I am dealing with company level unbalanced panel data. There are broadly two types of control variables in the study - a) firm level control ...
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Interaction term between lagged and non lagged variable Fixed/Random effect model
I am analyzing a panel dataset. I am wondering if I could use an interaction of a lagged variable ( one time step behind) and a non lagged variable ( both continuos indipendent variables) and still ...
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R's felm() fixed effects vs. factor() within lm()
I am wondering why using felm's fixed effect option versus using the factor() function is different? I was under the impression they were one in the same?
I am running a panel regression where i is ...
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Fixed Effects Model Interpretation
$$\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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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 ...
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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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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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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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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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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 ...
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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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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 ...
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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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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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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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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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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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....
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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-...
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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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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 ...
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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 ...
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