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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Choose between models FE vs RE vs Pooled OLS

I have quarterly data for 3 countries for a period of 10 years. Number of observations = 123. I have the following two questions: I would like to know what tests should I perform to choose between ...
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24 views

Fixed effect regression time and individual effects

I have a question about including both time based and individual fixed effects. (I am using within fixed effects.) They are both significant individually when I run an F-test on a basic OLS regression ...
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1answer
70 views

Fixed/Random Effects GLM for fMRI

As I understand it, this is a fixed-effects GLM (as could be used in analyzing the results of an fMRI experiment): $$Y = X\beta + \epsilon$$ I assume that $Y$ is a matrix of all the data (voxels ...
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14 views

Fixed effect model with only dummy variable in R

I am new to both R and stats and doing a model replication exercise on R. The model test how trade liberalization of 50 countries affects energy consumption. E = a0 + a1i + a2t + a3*LIBit + nit, ...
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13 views

How to interpret Interactions in a spatial fixed effect model

My units of analysis are racial groups nested in Metropolitan Areas, such that I have an observation for each racial group that is present in a Metropolitan Area. I include a fixed effect for the ...
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27 views

Interactions with a time invariant control in a fixed effect model

I am looking to add individual-fixed effects to a panel model. I have an interaction which includes a time-invariant variable (e.g. gender) interacted with a time varying variable (e.g. ...
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22 views

Two-way model estimation

I have a model with 2-way fixed effects and panel data. $$y_{it}=\alpha_i+\delta_t+\beta X_{it}+ \theta D.$$ The coefficient of interest is $\theta$. (D is time dummy). I can estimate the model with ...
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22 views

Logistic fixed-effects model with group-dummies

I have cross-sectional data with ~800 individuals nested within 6 countries, across 3 time points. Each individual is sampled only once, so time is cross-sectional here too. The number of individuals ...
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23 views

Same coefficients for fixed effect, random effect and OLS with panel data

I have a panel data on nonperforming loans from 1990q1 till 2014q4 with 30 banks. I would like to estimate both fixed effect and random effect model with gdp growth, unemployment, exchange rate, and ...
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1answer
52 views

Use of fixed effects and random effects

When can we do a linear regression without fixed or random effects and when do we need to use those in the regression analysis? I have tried studying a lot but have got only a vague idea. I would be ...
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24 views

Fixed effects cluster-specific interpretation with cross-sectional data

I'm unsure how to interpret the output of a fixed effects (in the econometric sense) logistic regression model using cross-sectional data. I'm struggling with the 'cluster-specific' interpretation ...
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1answer
38 views

Cross sectional dependence in panel data

I am running a fixed effects model and included time effects. For the cross sectional dependence test I am using the Pesaran CD test. However, I am not sure if I have to perform the test for ...
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1answer
33 views

Can fixed effects be “post-treament”?

I have located a natural experiment in a time series cross-sectional dataset, but I am unsure of whether or not to include unit-level fixed effects in my models. I have produced a toy example that ...
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40 views

Incidental parameter problem

I always struggle to get the true essence of the incidental parameter problem. I read in several occasions that the fixed effects estimators of nonlinear panel data models can be severely biased ...
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38 views

Fixed effect omits non-fixed variables

I am working on a standard gravity model and am running a cross-section and panel regression which include fixed effects (country fixed effects for cross-section and country-time and country pair for ...
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27 views

When to use fixed effects vs using cluster SEs?

Suppose you have a single cross-section of data where individuals are located within groups (e.g. students within schools) and you wish to estimate a model of the form ...
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43 views

Textbooks on Deriving Linear Randomization Theory Models (e.g., $Y_{ij} = \mu + \beta_i + \tau_j + \epsilon_{ij}$)

In the M.S.-level Statistics Methods class I am taking, I've learned about various linear models for experimental design. Take, for example, $$Y_{ij} = \mu + \beta_i + \tau_j + \epsilon_{ij}$$ for ...
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17 views

Accounting for time trend in a regression model that uses time-differenced data

Here is a random sample of observations from my 6600-observation data frame df: ...
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23 views

Why is there no constant/intercept term in the first differences estimator?

I'm currently an econometrics student learning about the fixed-effects estimator and the first differences estimator. I understand that the two estimates produces the same results when there are only ...
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34 views

How do i implement a zero inflated poisson inverse gaussian generalized linear model

Having spent a little time in solving these problem. it seems am getting nowhere yet. These are what i found out -the gamlss results is quite different from the zeroinfl function in pscl of R ...
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16 views

Should I re-transform country dummy coefficients to be analyzed in a second stage?

I am working on panel (country-year) macroeconomic data which suffers from missing data in some of the independent variables. My sample is wide and short, around 120 countries over 10 years. In past ...
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1answer
40 views

MIXED MODEL - can a fixed factor be continuous?

I am using the linear mixed function in SPSS and want to determine whether a continuous variable (attendance) has an effect on the repeated measurement of my DV ...
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25 views

Panel data regression with individual fixed effects: reason to include “untreated” individuals?

I am struggling with basic intuition about individual fixed effects. I have panel data with a binary treatment $D_{it}$, where some individuals never receive the treatment. I am running a regression ...
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15 views

Multiple Time Fixed Effects - LFE Paclage

I have weekly panel data for more than a hundred cities. The independent variables are temperature and precipitation. The time dimensions are year and week - likely have time invariant characteristics ...
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20 views

GLMM for repeated longitudinal count data

I have multiple longitudinal data sets (3 repeat trials) of microbial count data for a cohort of animals (each trial had different animals); animals belonged to either a treated or untreated group and ...
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21 views

Fixed effects model, first-differences

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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1answer
35 views

linear mixed model with 3 group categorical response

I've been looking all around the webs but cant find a conclusive answer. I have count data for a longitudinal study where subjects were grouped into three treatment groups (A,B,C) and blocked by ...
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17 views

Is random effect linear regression correct in this case?

I have an (unbalanced) individual based panel dataset and I want to estimate the predictors of total healthcare cost by looking at baseline clinical characteristics of the patients. I have data for ...
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1answer
41 views

Should I consider time as a fixed or random effect in GLMM?

I am attempting to determine if a type of pesticide is influencing the abundance of a particular species of bird. I have 35 years of data, which was collected along roadside survey routes that are run ...
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2answers
45 views

Panel Data Fixed Effects Interpretation

I have the following question with regards to Panel Data. Suppose we have the following Data Generating Process: $$ y_{it}=x_{it}'\beta+\alpha_{i}+\epsilon_{it} $$ where the LHS is the dependent ...
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39 views

Difference-in-Differences Approach to Measure Treatment Effect on Relation between Two Variables

I'm familiar with standard Diff-in-Diff models, such as $$Y_{it} = b_0 + b_1 \text{post}_t + b_2 \text{treat}_i + b_3(\text{post}_t\times \text{treat}_i) + u_{it}$$ where $\text{post}_t$ is a dummy ...
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8 views

Group level error terms

What is the difference between a regression equation that includes a time fixed effect, a group fixed effect and a composite error term versus a regression equation that include only a group fixed ...
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87 views

Fixed effect model

My question refers to panel data analysis. My analysis includes two different types of funds: public and private. Now I want to analyse the whole sample was well as public and private funds ...
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1answer
41 views

Clustering errors in Panel Data at the ID level and testing its necessity

What are the possible problems, regarding the estimation of your standard errors, when you cluster the standard errors at the ID level? And how does one test the necessity of clustered errors? When ...
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20 views

help with lme() for nested random effects factors [duplicate]

this is a fairly basic question, but I have spent all day trying to figure it out (including reading other questions on this page), and I could really use some help. I am trying to run a simple mixed ...
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1answer
30 views

Decomposition by covariates

I have a fixed effects regression with the following specification. $$Y_{it}=Cost_{it}+Year_t+Year_t*Cost_{it}+X_{it}+State_i+e_{it}$$ where $Y$ is a continuous outcome variable, ...
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0answers
16 views

Fixed effects estimation gives lower bias than OLS when using panel data

Problem: "Fixed effects estimation gives lower bias / less inconsistency compared to pooled OLS when using panel data." My reasoning: $probability \,limit (\hat \beta) = \beta + Cov(x, a_i + u_{it})$ ...
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1answer
29 views

Fixed-effects regression on data without a longitudinal component

Is fixed-effects regression invalid if you don't have panel data? My study is about the impact of microfinance loans in poverty alleviation.
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3answers
93 views

Fixed or Random Effects model? Data on murder rate and the death penalty

I have a dateset that includes information on U.S. states in 1987, 1990 and 1993 and describes the relationship between murder rate and the death penalty. mrdrte is the number of murders per 100,000 ...
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57 views

dataset shift and adjustment in glmnet

I have two sets of data A and F; In each datasets, I have two types of data point, say, 0 and 1 and the goal is to make a classifier. One strategy is training/fitting the model, using one dataset, ...
2
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1answer
215 views

Fixed effects in regression discontinuity design

I want to do a non parametric RDD type analysis to know the impact of an intervention (a single dummy variable) on an outcome variable. I have several 'boundaries' (which are actually different ...
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42 views

Presence of Heteroskedasticity, Robust Standard Errors - Stata

I have a panel of 49 observations, 7 countries, 7 years, running Panel fixed effects and IV fixed effects on Stata. I have used the modified Wald test to test for the presence of heteroskedasticity p ...
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2answers
194 views

Difference between fixed effects dummies and fixed effects estimator?

I started to read about panel regression models. However, I am a bit confused about the different model specifications in the fixed effects model: Does a fixed effects panel regression always mean ...
2
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1answer
50 views

Does Frisch–Waugh–Lovell theorem change the covariance matrix on regression coefficients?

I know FWL theorem allows you to compute a subset of the regression coefficients, i.e. for fixed effects models. It can give you identical regression coefficients as you solve the whole regression ...
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0answers
18 views

random effects performance versus fixed effects?

I am trying to create an example of random effects model for logistic regressions which has a better in sample performance (ROC, or AIC) than fixed effects. Is this possible?
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15 views

What is wrong with fixed effects with lagged dependent and initial values?

I am trying to check robust results with fixed effects. I am considering 3 years averages and fixed effects along with lagged dependent variable and initial value of dependent variable on right side. ...
0
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1answer
50 views

Multiple Time Fixed Effects in Panel Regression

I have weekly panel data for more than a hundred cities. The independent variables are temperature and precipitation. The time dimensions; year, month, and week - likely have time invariant ...
3
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2answers
41 views

Choosing between count and linear “fixed effects” models when within-variation is not skewed?

Is it appropriate to use a negative binomial regression with fixed effects when the dependent variable appears somewhat normally distributed within each group, but the overall distribution of the ...
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1answer
37 views

Reciprocal Causation in Panel Data

I have weekly data on stop and searches for all London Boroughs for ten years (N=32, T=566) and am interested in whether the number of stop and searches has any impact on crime rates. I don't expect ...
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1answer
22 views

Should I discreticize continuous variables in linear mixed models?

I would like to use linear mixed models for my analysis. My model looks like: Response ~ Group1 + Group2 + Age + Gender + Weight + (1|Subject) I would like to ...