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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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 ...
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43 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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13 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 ...
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1answer
38 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 ...
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1answer
35 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 ...
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25 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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22 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 ...
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1answer
33 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 ...
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1answer
95 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 ...
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2answers
113 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 ...
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1answer
61 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, ...
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32 views

Factors contained in the unobserved effect?

I try to study differences in health care cost between counties over a several years period, using a fixed effects model. I use a cost measure as dependent variable and have some demographic, ...
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26 views

How can I correct for residual autocorrelation in a fixed effect panel model?

The residuals have an AR(2) structure. Is it appropriate to add AR terms to a fixed-effects panel model?
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1answer
36 views

Hausman's test for all $\beta$s – comparing FE vs RE models

I fit several two level models in SAS using PROC MIXED: an empty model with multilevel structure (null), a model with a level 2 covariate (partial model), and a ...
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1answer
20 views

How does including a random effect, change the parameter estimate for a group level covariate?

I'll try and explain where I am getting stuck. I wish to model delay to treatment. I observe patients nested in hospitals. I have a mixture of patient and hospital level covariates. I suspect that ...
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13 views

What do I do if my sample for cross sections is not random in a panel regression model?

I am trying to implement a panel regression model, but there is one issue: both fixed effects estimation (FE) and random effects estimation (RE) require that the cross section sample be random. For my ...
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1answer
102 views

Fixed Effects Gravity Model for forecasting..with time constant variables Stata

I have a large panel data set of global trade flows and I would like to create a model for forecasting between two specific country pairs. I am just having trouble figuring out how to go about it in ...
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28 views

Stata's -margins- shows negative predicting value for count model

I am modeling "Innovation" counts over "HHI" and "squared HHI" with fixed effect poisson model. (My sample is unbalanced, small & wide one.) I am aware of that I can use Stata's -margins- command ...
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55 views

Specification of panel data

I am trying to find out the best specification for my dataset. I am trying to probe the effectiveness of the special economic zones in Poland in the meaning of growth of the economy in three ...
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37 views

Fixed effects analysis in Stata

I have a large data set on which I need to run a fixed effect regression. The two variables that I want to control for: year (2001–2008) and industries (20 types). But I apparently need to set the ...
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3answers
218 views

panel data - within-group estimate - individual fixed effects retrieved

I am analyzing panel data. First, I have to decide whether to use a random or fixed effect estimator. The Hausman test suggests to use the fixed effect estimator (also named within group estimator). ...
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1answer
53 views

When to use time dummies in multiple regression

When is it appropriate to use time dummies in multiple regression analysis? I am using pooled ols, random effects model, and fixed effects model. I have a period of 3 years. I don´t know whether it ...
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33 views

Trouble Interpreting Fixed Effects and What Features Are Fixed

I have a large panel dataset. It follows a number of schools over 10 years. It is essentially set up as follows: Year School VariableOfInterest ExplanatoryVariable InstrumentForExplanatoryVariable I ...
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33 views

Fixed effect model is not significant without year dummies

My fixed effect model is insignificant when I don't include the year dummies $$\text{Prob $>$ F} = 0.7769$$ When I try other regressions the model is fine, for example Driscoll & Kraay ...
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39 views

question about multi-level modelling with nested data (R/Stata/SPSS)

I have a dataset composed of observations taken from 16 separate experimental panels, each nested into one of 4 conditions (Treatment A Level 1, Treatment A Level 2, Treatment B Level 1, Treatment B ...
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90 views

What makes the results differ for fixed-effects models vis-à-vis random effects models?

What makes the results differ for fixed-effects models vis-à-vis random effects models? The Cochrane Collaboration's website indicated that two models can produce different results for a meta ...
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278 views

Heteroskedasticity removed through fixed effect estimation?

I have a large panel dataset. Examination of a pooled OLS regression with Breusch Pagan showed heteroskedasticity with all model specifications. I consequently chose to use panel-corrected standard ...
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I have survey data where people respond to multiple items. I want to find the avg and SE on each item, controlling for within subject variation.

I have survey data from 650 respondents. Each participant rated 11 items on the same scale. I would like to know, at the population level, how the average of each of these items compare. For ...
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115 views

Panel regressions with an interaction term between a time dummy variable and a time invariant variable

I have estimated the coefficients of the following equation, using the fixed-effect model: $Y_{it}=\alpha _i+ \rho _t + \beta _1 X_{it}+\beta _2 C_i*D_t+\epsilon_{it}$ I have observations from 1980 ...
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60 views

Cross-sectional panel data and a fixed effects model

Assume a dataset that has a time series of a dependent variable for a number of stocks, and then a time series of an independent variable over time. Would applying a fixed effects model on this mean ...
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21 views

Can splines produce a plot with more than one fixed effect? If so, how can I correct for a fixed effect?

I have my statistician supervisor wanting me to plot a series of graphs using splines. On the x axis I have volume of milk, on the y axis days. Now, he says I need to "correct for age and birth ...
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1answer
75 views

Panel Cointegration, Moderating Effects and Multicollinearity

I am running a panel fixed effects regression on 21 countries and 16 years. Its a secondary data taken from OECD website mostly. My model looks like this: $$ \log{(GDP/Labor)}_{i} = \beta_0 +\beta_1 ...
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63 views

How to test for serial correlation with pooled OLS, FE an RE?

I have pooled data for 3 years, and I have come across the problem of serial correlation. Some books mention the problem of serial correlation when pooling the data. My question is: is it possible to ...
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65 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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64 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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20 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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122 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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0answers
75 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
70 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
64 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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41 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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24 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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49 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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372 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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65 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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43 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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2answers
64 views

Hausman test with or without covariates

I am using panel data and I would like to determine whether I can use the Random Effects (RE) model instead of Fixed Effects (FE) to estimate one coefficient of interest. When I use the Hausman test ...
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1answer
208 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
56 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, ...