# Tag Info

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### What is a good proxy for government quality?

Using corruption is part of it but a bit restrictive way to measure government "quality". You may use aggregate indicators as the one developed by the Worldwide Governance Indicators (WGI) project ...

### Robust Standard Errors in Fixed Effects Model (using Stata)

Use -areg- in Stata, and the standard errors will come out as in the textbook. Specifically, the command ...
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### Pesaran's CCEP estimator in eviews

The technique described in the question is almost correct. Consider a panel data set consisting of three cross-sections ($a$, $b$, and $c$) and three time-periods ($1$, $2$, and $3$). Let y denote the ...

### Robust Standard Errors in Fixed Effects Model (using Stata)

I'm still not sure if I'm doing something wrong. However, it is useful to note that I get the same results in R. ...
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### Difference-in-differences with long time horizon and repeated treatments

This question is related to a post I addressed on CrossValidated. The "generalized" difference-in-differences (DiD) estimator is amenable to settings with multiple groups and multiple ...
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### How to justify the treatment and control groups for Difference-In-Difference with staggered implementation of laws?

[W]hy do they need to write down "adopted a leniency law at some later point of time"? Because in Korea case, the word "our sample period" means "1995-2002" already. ...
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### Why we need to add firm and year relating independent variables in two-way fixed effect model?

Consider the following regression specification where, $t$ is time, $c$ is the firm, $y$ is an outcome and $x$ is a variable of interest. $$y_{c,t} = \alpha + \beta x_{c,t} + \varepsilon_{c,t}$$ ...
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### Fixed effects vs first difference

I do not think the premise is correct. Following Brüderland and Volker in Best & Wolf The SAGE Handbook of Regression Analysis and Causal Inference [square brackets have my remarks]: Both ...

### How to use panel data for a time series machine learning problem?

This is a question that crosses all over the place, each of these techniques are different. Here are some very loose guidelines. As a baseline, recall that in econometrics you may have performed ...

### How to perform unbalanced panel data regression in R?

Here the solution would depend on what you want to accomplish. Note the problem is not just that the series is unbalanced, for an ordinary unbalanced panel data-set where firms have different number ...

### In panel data application, when using Fama and MacBeth regression is preferable over the fixed or random effect model? thought

I cannot precisely answer your questions because I do not know which exactly regressions you want to perform as @jmbejara says and which papers are you referring to that use Fama-MacBeth regression. ...
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### When does the "stationary" problem become and issue with panel data?

The data sample is so small that formal testing for stationarity would be essentially worthless. Inspect visually your individual series for any obvious trend. This would be the case where even with a ...

### A question about Fixed effects estimation

Having read up on your question it seems the fixed effect is fixed. If this is indeed the case it will have zero variance and hence zero covariance with any variable.
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### What is the difference between fixed effect regression and (panel) fixed effect regression?

Fixed effects regression is one of a broader class of panel econometric methods which take advantage of panel data to difference out unobserved variables which would cause biased estimators in a naive ...