In biostatistics, fixed-effects may mean population-average effects. In econometrics, fixed-effects may represent the observed quantities in terms of explanatory variables that are treated as if the quantities were non-random.

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38 views

Stata's xtlogit (fe, re) equivalent in R?

Stata allows for fixed effects and random effects specification of the logistic regression through the xtlogit fe and xtlogit re ...
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35 views

Fixed / Random Effects Model

I have the following kind of panel data set, without a time variable. 20 countries are the panel variable and provide data on 48 other countries. The independent variables are 6 (intercorrelated) ...
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15 views

Derivation of a fixed effects estimator

I've come across parts of a derivation of a fixed effects estimator in a paper i don't understand. The log likelihood function is where $Y_i=(Y_{i1},...,Y_{iT})'$, and $X_i$ is a $T\times k$ ...
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18 views

Hausman test VS Mundlak model; the choice between fixed and random effects

I am using panel data and I have to choose between fixed-effect and random-effect models. I run the Hausman test, the H0 (i.e., the difference in the coefficients from the two models is not ...
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26 views

Predicted values for fixed effect quantile regression

I'm currently working with the method proposed by Koenker (2004) and Lamarche(2010) on fixed effects for quantile regression, for this I'm using the RQPD code in R. I would like to get the predicted ...
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1answer
47 views

My fixed effect model and methodology

I'm doing my master thesis on FDI effect on Chinese wage inequality. I am new to quantitative econometrics so I have no idea if my wage equation is correct. $$W_{it} = β X_{it} + λ_t + η_i + ε_{it}$$ ...
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2answers
45 views

Computing effect for each firm for one of the explanatory variable in the panel data (Stata)

Suppose I have panel data with firms $i=1,...,N$ and year $t=1,...,T$. Also, assume that I have the model like below: $y_{it}=\beta x_{1it}+\alpha_{i}x_{2it}+v_{i}+u_{it}$ My simple question is how ...
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16 views

Error computing Robust Standard errors in Panel regression model (plm,R)

I am using the plm library to run fixed effect regressions and the sandwich,lmtest libraries to compute robust standard errors. I have no problem running the regressions, but in some instances when I ...
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19 views

Standard errors in Fixed and Random Effects

If the appropriate model choice is Fixed Effects in a panel study, will the inference derived from the standard errors in an Random Effects model still be valid?
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1answer
43 views

Constrained fixed effects

I need to show that constraining the sum of group level fixed effects (in this case, zero) has no effect on the coefficients of the regressors. My intuition is that each constrained d_i is a perfect ...
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1answer
98 views

How to keep time invariant variables in a fixed effects model

I have data on a large Italian firm's employees over ten years and I would like to see how the gender gap in male-female earnings has changed over time. For this purpose I run pooled OLS: $$ y_{it} = ...
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44 views

Conditional FE Binomial Logit Models (Stata)

I have individual panel-level data and am using conditional binomial fe logit regressions to estimate the effect of minimum wage on Employment. 1) When I try to include year dummies most of them are ...
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37 views

Zeros in non-negative data: can you multiply by 10^c, round, and then model as poisson GLM?

Potentially stupid question: is there anything wrong with modeling zero-containing non-negative data by first multiplying it by 10^something, then rounding it, and then modeling it as poisson? Or is ...
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0answers
23 views

Hausman test with or without covariates

I am using panel data and I would like to determine whether I can use the Random Effect (RE) model instead of Fixed Effect (FE) to estimate one coefficient of interest. When I use the Hausman test ...
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1answer
64 views

Collinearity in time dummies, fixed effect regression

I am running a fixed effect panel regression with 81 groups x 20 periods, so approx 1620 (unbalanced) observations. I use the following to create dummies: ...
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2answers
46 views

Linear regression with group-dependent intercept and variance

This is my first question on CrossValidated and I'm not a professional statistician (although I am trained in theoretical probability) so please be indulgent. I have data of the form $(X_i, Y_i, ...
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3answers
93 views

Fixed effect Logit with R

I would like to perform a Fixed effect logit estimation in R. Can someone point out a package that can do the job? Note: For the time being I'm not really interested in the random effect. Update; ...
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1answer
59 views

The right way to report random effects in a Cox survival model

I have a data set (patients (15000) nested in hospitals (50)), with a number of covariates. I built a proportional hazards model in Stata, and entered site as a frailty term. I would like to report ...
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2answers
71 views

Zero-inflated two-part models for semi-continuous data

I am trying to study predictors of companies' pollution output of some specific chemicals. The data I am using have many 0's (i.e., the company did not pollute at all with those chemicals) and then ...
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33 views

Fixed effect/mixed model

Unit of analysis: States (39) Time: 3 years Total observations: 117 Dependent variable: % children graduating within 4 years from high school Independent variable: 8 composite scores ranging from ...
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37 views

Subsets vs pooling in regressions with interactions

Model: $y_{it} = \alpha_{i}+\beta_1 D_{it} + \beta_2 G_i + \beta_3 (G_{i}\times D_{it}) + \epsilon$ G is a group dummy D is a treatment y is an outcome data is a panel $\alpha$ is a fixed effect ...
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1answer
108 views

Coefficient sign changes in fixed effect and first-difference estimation

I have a large empirical panel, where I basically want to regress the standard deviation of (equity) returns ($y_{it}$) of firm i at time t, on leverage (equity/debt) of firm i at time t ($x_{it}$). ...
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48 views

Why does a fixed-effect OLS need unique time elements?

The plm function of the plm library in R is giving me grief over having duplicate time-id couples, even when I'm running a model ...
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1answer
58 views

Political preference as independent variable - fixed or random effect?

I'm having a discussion with my colleague about an exam question. Let's say we have a questionnaire in which, among others, the preference for a political party is asked for. How would we model ...
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67 views

Fixed effects in a linear probability model (LPM)

I have a dataset with about 6000 obs. in a cross sectional times series structure (countries and years). My dependent/response variable is binary and my independent/explanatory variables are a mix of ...
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1answer
62 views

Collinearity among explanatory variables

My correlation matrix is not showing very high correlations (less than 0.5), but still, when I am regressing panel fixed effects models, all my variables are omitted, and it shows it is due to ...
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30 views

What is the difference between fixed effect and random effect model of ANOVA and when these should apply? [duplicate]

ANOVA Test is used on mean score of individual studies' parametric estimates with fixed and Known population or random unknown population.
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34 views

Panel data Random Effect implications

when using an unbalanced panel with Nxtreg and found the Panel to be a Random effect Model (as results of HAUSMAN test estimations), does it have any implications on the other test? or it means we use ...
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1answer
88 views

Test for differences in coefficients across groups in panel data

I am wondering how to test for differences in regression coefficients across groups in panel data (after a fixed-effects regression). Particularly, I can't think of a solution of how to construct ...
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0answers
72 views

How to interpret results after including lags in panel data regression (fixed effects)?

I would like to ask a question about lags I've included however I believe it's better if I first give you some more insight information about my topic. My hypothesis is ''the positive sentiment ...
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0answers
88 views

Conditional Logistic Regression, Rare Events and R

I have a panel data set organized around 35 provincial units, with 110 binary "positive" outcomes in the dependent variable. This is for about 2600 observations in that data set. I have a couple ...
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0answers
140 views

Compare coefficients across groups in panel data set

I want to test for differences in (regression) coefficients across two groups. I understand, that this is possible by including interaction terms and performing a Chow-Test. But what do you do if ...
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0answers
78 views

Larger coefficients (economically) or flipped sign when using fixed effects instead of OLS?

Is it possible to get a larger coefficient (either a larger negative or a larger positive) when moving from OLS to a fixed effects regression? Furthermore, is it possible/likely for a coefficient ...
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40 views

Year fixed effects

I am having some confusion with year fixed effects. If I would like to estimate the effect of Policy A on Outcome Y, will the year fixed effects capture the effect of Policy B (also occurring in this ...
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30 views

What is the problem with my lagged variables?

There are variables a,b,c, and d. Variables a and b is from firm's financial statements and they have time-lag.(financial statements take time to be announced) Variable d is a dummy variable ...
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0answers
186 views

Correcting for heteroskedasticity in Logit fixed-effects model

I found out that my panel data 'suffers' from heteroscedasticity by doing the test described on Stata FAQ, Testing for panel-level heteroskedasticity and autocorrelation. I understand that the $H_0$ ...
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0answers
80 views

Twitter user data - Fixed Effects Logit the right/only choice?

I'm wondering whether a fixed-effects (logit) model fits the purpose of my study, and would like to get some feedback or ideas which other models could potentially be useful: I have an unbalanced ...
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156 views

Hausman test in Stata : rank problem

When I run hausman in Stata, there is the following message: ...
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1answer
104 views

Can ecological inference problems be solved by fixed effects?

The Ecological inference problem is about drawing inferences on the individual level using aggregate data. The main problems is confounding and aggregation bias. One method to solve the ecological ...
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92 views

Index function in PLM

I need help to perform panel regression between share return and macro economic factors. As the share returns of different companies belong to same country, only time factor make a difference. When ...
2
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1answer
66 views

Hausman-Newey test for serial correlation in Poisson with Fixed Effects

The article from Hausman, Hall, and Griliches (1984) "Econometric Models for Count Data with an Application to the Patents-R&D Relationship" has become the canonical example for conditional MLE of ...
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169 views

Difference-in-difference in panel data

Under which conditions should we expect the difference-in-difference estimate to be equal to the equivalent panel data model? Strictly speaking, whenever we have a experiment that offers a well ...
9
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1answer
366 views

When is it necessary to include the lag of the dependent variable in a regression model and which lag?

The data we want to use as dependent variable looks like this (it is count data). We fear that since it has a cyclic component and trend structure the regression turns out to be biased somehow. We ...
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0answers
42 views

A mixture of mixed-model regression and fixed-effects-only regression: what is it exactly?

I have a model with a continuous dependent variable (DV) and 9 independent variables (IVs). My model is a mixed-model, because 7 of the 9 IVs are nested within the two levels of another IV (lets call ...
0
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1answer
465 views

Random effects in mixed models

I am not very familiar with mixed models --- I have been reviewing the various tutorials on the web but still am not sure how to specify my model, even as a starting point for comparison. I have a ...
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1answer
140 views

Exogenous regressors in panel unit root test

From visual inspection I suspect some of the series in my panel dataset to be non-stationary. If I do the panel unit root test on them in EViews 7, I can choose exogenous regressors under ...
1
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1answer
243 views

Is my parameter estimate significant or not?

DISCLAIMER: This question was sent to Stata list today, but so far nobody has answered. NOTE: I use Stata here, but actually I don't think the question is software-specific. Hi, I would appreciate ...
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0answers
11 views

When is a FE/hierarchical model inappropriate?

I have a data set including patient preoperative health care data grouped into different clinics and also the outcome of a surgery the patients underwent at those clinics. The data set is relatively ...
2
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1answer
386 views

Difference between fixed effects models in R (plm) and Stata (xtreg)

I'm trying to re-create an analysis done using Stata function xtreg (though I don't have the code) with ...