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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36 views

Is this logit model a multilevel model, and what is the correct way to model it?

I am analyzing a sample of about 6000 actions carried out by about 500 multinational companies in about 80 countries during a 6 year period. Actions are carried out randomly, and are not longitudinal ...
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5 views

fixed-effect nested factors in R with only SOME combinations present

I have a large data wth numerical response and two categorical factors: date and site. There are about 350 dates and 25 sites, but not all sites have observations on every single date (most have only ...
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33 views

Panel data with N < T heteroscedasticity and autocorrelation. Should I include country dummies?

I have panel data of $N=18$ countries with $T=72$ months. Heteroskedasticity and autocorrelation are present in the dataset. I was working in Stata with xtreg fixed ...
3
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1answer
29 views

Hausman test FE vs. RE in case that FE is not consistent

I have a twin panel data and want to estimate simple wage equation (interest in return to education). I use fixed effects(first differencing) to account for family background.(Based on: Ashenfelter ...
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0answers
16 views

Interpreting fixed effect result

I've estimated my fixed effect model and a selection of the results are as follows; R-sq: within = 0.6827 between = 0.3321 overall = 0.4672 F test that all u_i=0: F(50, 499) = ...
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1answer
47 views

Using year fixed effects on data with yearly observations

I have a panel data set with yearly observations of various firms over a period of 5 years. I am running a fixed effects model in Stata using xtreg. Is it ...
2
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2answers
74 views

Time-invariant variables not being removed in Fixed Effects model. And feasibility of addional time dummies in Fixed Effect/Random modelling

I am working with severely unbalanced Panel Data of a nations Fisheries where I have individual data from all deliveries made by every single vessel. Thus far I have reshaped the data so that every ...
7
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1answer
428 views

How to use the Hausman test for gender discrimination?

I am trying to estimate the gender wage gap for male and female office workers in a large Swedish company to test whether there is gender discrimination. The Hausman test rejects the null that the ...
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2answers
47 views

Panel data methods

My dataset is following: firms=1000, time period=10 years, countries=20, industries=15. I declare in STATA: xtset firmid year I want to control for the ...
5
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1answer
156 views

Dealing with hierarchical (panel, multi-level) data and fixed effects in LASSO?

The question pretty much explains itself. When running a Lasso regression on a lot of indexed (say by time and location) explanatory variables, is it best practice to transform all data using a ...
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0answers
10 views

To demean or to use dummies in maximum likelihood

I have a dynamic panel data with T=20 and N=1500 and I use a maximum likelihood estimation (more precisely its a VAR). Using a dummy variable approach to account for fixed effects introuduces an ...
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11 views

Within $R^2$ vs between $R^2$ vs overall $R^2$? [duplicate]

I just ran a fixed-effects regression using the xtreg command in Stata using time-series data and I get 3 different $R^2$s. One is the within $R^2$, the other is the between $R^2$ and the last one is ...
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37 views

Fixed Effects at Different Entity and Time Levels

This is a project I'm working on. I have MONTHLY values of X for employees of firms and I want to know how these affect YEARLY values of Y for those firms. The Y values are the same for all ...
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1answer
40 views

How to perform regression with a sensitivity analysis in R

Without using non-base packages like plm, how can I perform a fixed effects regression in R with a sensitivity analysis for one or several other variables? Some ...
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0answers
22 views

Marginal effect calculation after logistic regression with panel dataset using R

I would like to perform a logit regression with a panel dataset, I know that the pglm package does the job, however, does anyone know if there is a standard package in R that allows me to calculate ...
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0answers
58 views

What is the difference between FE-PCSE and xtreg, fe in Stata?

Here is a very simple question: On country-level data, I am running two different fixed effect model, using Stata command, but I don't know why not only the estimation of standard errors, but also ...
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0answers
38 views

group fixed-effects, not individual-fixed effects using plm in R

I am analyzing some data to evaluate the impact (causal effect) of a program that is delivered at group level (a village). The outcome of interest is measured at the individual level (individuals ...
1
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1answer
112 views

Hausman test after xtregar negative chi2

I'm performing a Hausman test on panel data to determine whether to choose Random Effects or Fixed Effects for my analysis with AR(1). After performing the test I get a negative $\chi^2$ statistic ...
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0answers
23 views

Fixed effects in panel data, correlations/coefficients don't add up

I am doing a regression on panel data for firms. The dependent variable is the Marginal revenue product of labour (RPL), i.e. labour productivity, and the independent variable is the average wage of ...
3
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0answers
29 views

Goodness of fit for a spatial panel with fixed effects and both spatial lag and spatial error

On a dataset, I performed spatial panel regressions with fixed effects, and with both a spatial lag and a spatial error (both are significant), using package splm in R (Millo and Piras 2012 Journal of ...
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1answer
49 views

Too many significant dummy variables in fixed-effect panel model

I am doing panel analysis of state drug policies. My data set includes 50 states and ten time points. I am using one-way state fixed-effect models, controlling for heteroskedasticity and ...
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0answers
22 views

within-MZ twin model using sem in Stata

I'm working with some twin data and would like to estimate something exactly akin to xtreg using sem in Stata. The structure of the data is pretty generic: there's a family id, there's a within family ...
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14 views

pggls function in R - weird results

I need to estimate a panel model. I have run the "normal" fixed effects model using plm in R and also wfe. I also wanted to try pggls considering its tolerance of heteroskedasticity and ...
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1answer
57 views

Modelling Fixed effects in panel data regression models

I was given the following equation: $$\sigma_{it} = \beta_0 + \beta_1 x_i + \beta_2y_i + \beta_3vs_{it} + \beta_4vm_{it} + \sum_{i=1} \gamma_i \alpha_i + \sum_{t=1} \omega_t \phi_t + \epsilon_{it}$$ ...
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0answers
56 views

cluster-robust standard errors are smaller than unclustered ones in fgls with cluster fixed effects

I'm currently working on some experimental data. The experimental design consists of two treatments. In each treatment, 20 subjects are randomly matched in pairs and participate to a simple game. The ...
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1answer
91 views

Is subtracting individual means in pre-processing an appropriate alternative to dummy variables for fixed effects panel data estimation?

Is subtracting individuals means during pre-processing of panel data exactly equivalent to including dummy variables for fixed effects estimation? If not, what are the differences, and is there some ...
3
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1answer
96 views

2-stage panel model - am I doing it right?

I ran a 2-stage fixed-effects panel model in R. The goal is to find the effect of strategic alliance participation on firm performance. Alliance participation is not random - firms self-select (and ...
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1answer
74 views

R plm: understand pmodel.response

I need help in understanding the pmodel.response function from the R package plm. So far I have interpreted this as a way to get ...
2
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2answers
285 views

REML or ML to compare two mixed effects models with differing fixed effects, but with the same random effect?

Background: Note: My dataset and r-code are included below text I wish to use AIC to compare two mixed effects models generated using the lme4 package in R. Each model has one fixed effect and one ...
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1answer
63 views

Random and Fixed effect model

Would you explain a practical situation where random effect model is more appropriate than the fixed effect model?
4
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1answer
85 views

Difference-in-differences with no pre-treatment?

The typical difference-in-differences estimator (as fixed effects) fits a model of the form $$ y_{it} = \alpha_i + \delta T_{it} + X_{it}'\beta + \epsilon_{it} $$ where $T$ is some treatment that ...
1
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1answer
104 views

Include nesting factor as fixed effect in a GLMM

I have the following GLMM: success ~ age + gender + group/task + (1 + group/task|school/subject), family = binomial I want to know whether participants' ...
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2answers
97 views

A fixed effects regression in Stata that changes when a time invariant variable is included

I am running a fixed effects regression in Stata. If I understood it correctly, a variable that is fixed over time will be omitted from the regression. Hence, it should not influence the regression ...
5
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1answer
120 views

Do Bayesians believe in Fixed Effect Models? [duplicate]

Given the Bayesian paradigm, is there actually such a thing as a fixed effects model since Bayesians treat all parameters as random variables?
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5answers
434 views

What is the upside of treating a factor as random in a mixed model?

I have a problem embracing the benefits of labeling a model factor as random for a few reasons. To me it appears like in almost all cases the optimal solution is to treat all of the factors as fixed. ...
4
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1answer
338 views

difference-in-differences with fixed effects

I have two questions related to having fixed effects in the DD model. I have a treatment that occurs at different times (e.g., 2001,2005, etc.). I want to fit a DD model, so I standardize the ...
2
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0answers
88 views

Unbalanced panel data: Fixed effects?

I have an unbalanced panel dataset with N=10 firms and T=61 days. Because one variable had values outside the theoretical range I had to constrain my dataset, which left me with only 239 observations. ...
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1answer
219 views

Is this an example of Pooled OLS on Panel Data?

I am looking at a study that analyzes the effect of an infrastructure index on infant mortality and child mortality rates. The database has (asset) quintile level data for 47 different countries (from ...
0
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1answer
522 views

Compare coefficients from two separate panel regressions in Stata

I am trying to compare the coefficients of two panel data regressions with the same dependent variable. What I am aiming at is the following: ...
1
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1answer
240 views

Limited dependent variable → ordered probit model with Stata

I have a dependent variable, credit rating, and it is a limited dependent variable. Independent variables are profitability, firm size, stock return, etc. I was advised to use Stata and run ...
3
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1answer
738 views

Interpreting fixed effects coefficients with categorical independent variables

I am trying to find out if change in marital status have effect on person's health. I am using 2 data points panel data. My question is, how to interpret fixed coefficients if independent variable ...
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0answers
32 views

Number of observations in plm package, n, T, N

I am new to R. I am using the plm package to run pooled OLS and Fixed Effect. My data set has 130 countries over 33 years with lots of missing values. My model has ...
1
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1answer
204 views

First Differences and Fixed Effects

I'm aware of the fact that first differences and fixed effects are both designed for the same solution -- removing unobserved unit-level effects. However, I'm unclear on what happens when you include ...
2
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1answer
126 views

Using first differenced variables in fixed effects model

Deal all, It might be a stupid question but since fixed effects estimator either mean centers the data or uses first differences, is it entirely wrong to take first differences of the data and then ...
0
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0answers
37 views

co-twin study regression modelling

I want to conduct a regression analysis on a dataset of identical twins. There is a paper by Carlin et. al. 2005 which reviews the models that are designed for twin studies and includes the Stata ...
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0answers
68 views

How to estimate a dynamic Tobit model

I have data which correspond to a corner solution. The Tobit-model seems to be adequate for this data. However, I also wants to control for a baseline variable (t-1) and unobserved heterogenity. This ...
1
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1answer
103 views

How accurate is F test in panel data

I heard that the F-test is to advice you whether to use fixed effects or pooled OLS. However, I didn't find any details about it in books. Only in a very few studies. What is the hypothesis of the ...
2
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1answer
99 views

Analysing regression results

This question is a bit embarrassing, but I do not have much experience of statistical analysis. The problem I have is that the analysis I do of the results in my paper is so meager. My results from a ...
3
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2answers
299 views

What is the correct way to deal with multiple fixed effects when dealing with a large number of observations in panel data regression?

I don't have much experience with panel data so I apologize in advance if this sounds ridiculous. Let's say that I am trying to control for individual and temporal fixed effects when running a panel ...
1
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1answer
2k views

Using pooled OLS when running a model with panel data?

How bad is it to use pooled OLS instead of fixed effects when you have 7 years of panel data? From what I have understood, the risk is that the coefficients will be correlated with the error term, ...