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Questions tagged [fixed-effects-model]

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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block bootstrap implementation for `gls` from `nlme`

I have several datasets of timeseries data (days) with an experimental intervention on some days, where some of the datasets cover multiple sites. I also have matching day-level and site-level ...
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Compute marginal means and effect sizes with a fixed effect linear model with repeated measures

I am trying to better understand the relationship between linear models and ANOVA by doing it a bit more manually. To do this: I create a toy dataset, with two categorical variables, which I consider ...
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Date as random effect in mixed model strongly changes coefficient estimates

I am struggling with the structure of a mixed model that I run with lme4. I have measured a behaviour (let's say reaction time) and another variable that might impact it (let's call it "mood, ...
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How can i make a simple visualization of my result from a two way fixed effects regression model?

I am trying to understand the effect of the variable x1 on the dependent variable y1, and for that i have panel data. I decided to use a two way fixed effects model to estimate the effect of variable ...
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Grid-level spatial fixed effects (with time and seasonality)

I have panel data with reported human-wildlife conflicts with a date and grid cell location: I'm trying to isolate the impact that extreme precipitation and temperature have on conflict rates. I am ...
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Can I interpret the size of my regression coefficient when I only control for confounders and not non-confounding covariates?

I am very confused at the moment, for my bachelor's thesis I am performing a Panel Individual Fixed Effects analysis and have only controlled for confounders. I was under the assumption that when I ...
user418117's user avatar
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Standard error clustering with few clusters

I am trying to estimate the causal effect of police presence on crime rates using county-level crime data from 166 counties across three states. The treatment is assigned at the state level. For my ...
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Interpretation of main effects under the presence of interaction terms in fixed-effect models and using plot_predictions

I would like to ask about the following. I am working with a T=2 panel data, and assuming a model of X1, X2, and X1*X2 estimated with the within estimator, which one would be the more appropriate ...
Shen Shen's user avatar
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How does the pvarfeols function from the R panelvar package handle fixed effects?

I have been using the pvarfeols function (Fixed Effects Estimator for PVAR Model) from the R panelvar package. It seems like the ...
catin's user avatar
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How to deal with competition for variance between a fixed and random effect?

I am performing an analysis on data in which there is a hypothesized relationship between X (predictor) and Y (the response) across a broad area, but random (no relationship) within groups of ...
Darren G's user avatar
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Random effect models: Understanding within, between and contextual effect

In my quest to better understand, and more effectively apply, random/fixed effects and clustered standard errors, I am struggeling with the terms "within", "between" and "...
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Granular regression with repeating dependent variable within group

I am estimating a standard OLS regression model where the unit of observation is inventor-firm-year level. The dependent variable I am interested in is patent count (a measure of inventor productivity)...
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UPDATED: Very unstable model and mostly insignificant variables in fixed effects regression model

I have been trying to create a regression model for my master thesis for the last week and I am stuck with the following issue. Currently seeking any help I can get, so greatful for any input you ...
DataScience-Student's user avatar
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What happens to the data when entity- and time-fixed effects are applied?

Let us assume that the true data generating process is as follows: Y_it = beta_0 + beta_1 X_it + u_it What happens exactly when I apply both entity- and time-fixed ...
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Fixed Effects model "within" "individual" adding time dummies

Currently I am writing my thesis about the influence of natural resource dependence on child health. I have an unbalanced panel dataset with 117 countries from 2002-2020. I use the code under the ...
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how should i analyze panel data if all units are treated simultaneously?

I possess a dataset of 273 companies from the time period 2001-2017, and i want to study whether the effect of the policy (that was implemented in 2009) on profit was moderated by industry type. My ...
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statsmodels: Update OLS' degrees of freedom when absorbing 3+ fixed effects

I want to run an OLS regression with 3+ fixed effects. (Whether this is a good idea is out of the scope of this question). I can do it using Stata: ...
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How to deal with outliers in panel data? [closed]

When we have cross-sectional data, we can easily detect and remove outliers. But how should one approach outliers when we are dealing with panel data? Since we have $i$ entities and $t$ times periods, ...
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Do first and second stage regressions combined with fixed effects have to follow the same model?

I suspect reverse causality between Y and X1, therefore I'm applying an instrumental variable approach to panel data. My main regression consists of country- and year-fixed effects. Do I have to also ...
TFT's user avatar
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Behavior of clustered SEs for cross-level interaction with a 0 cell in fixest

I am using fixest in R for fixed effects logistic regression with clustered SEs. I am not able to share my data but hope I can explain the question well. I have 11 clusters with between 29 and 493 ...
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Firm Fixed Effects Model dropping Sector Dummies? Potential Solution?

For my thesis, I am using panel data with stock returns and other firm data. I first used an event study to calculate abnormal returns (with event window of 7 days so 7 observations for 500 firms) ...
mek1401's user avatar
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What estimator and R package can be used for staggered difference-in-difference with (non-panel) cross-sectional data, controls and interactions

I am trying to run a difference-in-difference analysis in R. My data is non-panel, so I am reliant on a TWFE model where I have groups of individuals who are ...
flâneur's user avatar
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Understanding differences in collinearity across Stata commands

Here's a simple example of a regression of y on x including time and id fixed-effects and both a linear and a quadratic time trend. If my t starts at 1, these 3 different regressions get the same ...
why's user avatar
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Individual fixed effects for Cox Proportional Hazard model

I have a panel data set with right censoring. So I have individuals i with several time varying covariates Xit. For some individuals we observe event E (canceling their contract) and others we don't. ...
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Multi-level models and random effects: Still confused

I know that there are many posts concerning explanations of multi-level models, random effects, fixed effects and so on. But after having read through them, and after watching this youtube series by ...
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How to analyze the driver of a flipped sign regression result?

I have a panel dataset uniquely identified by $i$ and $t$. I am interested in the relationship between $x$ and $y$ and I want to an OLS regression with unit fixed effects ($\phi_i$) as follows: $$y_{...
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2 answers
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My glmer output has my fixed effects are being split into the multiple factors of my dependant variables and I'm not sure why

I am being advised that the output for my GLMER model is not correct. I at this time am not being given more instruction outside of that. To set up the data for analysis, the following was done to ...
Myles Covington's user avatar
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Why does the ICC differ when comparing multilevel models (log transformations vs regular scale) of the outcome variable in R using lme4?

I'm currently working on a multilevel modeling project in R utilizing the lme4 package. The primary aim of the research is to assess the relative importance of between-family and within-family ...
Max Herre's user avatar
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Diff-in-diff with balanced panel: adding fixed effects does not change coefficients?

I'm trying to run a differences-in-differences model in Stata. My dependent variable is order volumes, each observation is 1 store, and my panel is strongly balanced (20 quarters for each store, 6K ...
Mike's user avatar
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Fixed effects regression: reghdfe vs reg with dummies (stata)

I am trying to understand what is the difference between running a regression with a bunch of fixed effects by directly creating the dummies versus using reghdfe. Below a minimal working example: <...
phdstudent's user avatar
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93 views

Fixed vs random: how can a fixed effect be constant across individuals?

For years, I have been trying to find a definition for fixed and random effects. I often see statements like this: Fixed effects are constant across individuals. - almost universal We define effects (...
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How to specify gravity model of trade with intranational (domestic) trade flows?

Having read the literature on gravity models, I would like to estimate one myself. Focusing on cross-section only for now, they take the general form: lnTRADEij = aXi + bXj + cZij + eij where ...
Adarsh Nayak's user avatar
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Intuition of F statistic calculations in 2-way random effects-, fixed effects- and mixed effects-ANOVA

I try to understand the logic behind the math of random, fixed and mixed effect models. So far I think I've understood that they are all based on the same mathematical model, e.g. $Y_{ijk} = µ + \...
Anti's user avatar
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Is a regression discontinuity with two-way fixed effects a type of Diff-in-Diff?

I recently read a paper which used a regression discontinuity design (RDD) to study the effects of a law. The key variable was = 1 for all counties following the introduction of the ban. The model ...
Liam's user avatar
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1 answer
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Negative percentages as dependent variable

I am analysing the effects of legal origin on the performance of firms within Canada and Quebec, and I'm in the process of gathering and cleaning the panel data as I was hoping to conduct both entity ...
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What does it mean that fixed effects are "balanced"?

I'm following the fixest tutorial, and in this chapter there is written: We can see that the fixed-effects are balanced across the dimensions. Indeed, apart from the first dimension, only one ...
robertspierre's user avatar
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aggrregated vs. non aggregated data

I am running a TWFE logistic regression to regress a company's exit status, meaning 1 if the invested company had an IPO and 0 if not. I am running the following code specification: ...
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why to add the interaction of two fixed effects in regression

A general question raised during my study. For example, we are estimating the effect of X on Y at individual level. Then it is intuitive for me to add state fixed effect and year fixed effect in the ...
xxx's user avatar
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1 answer
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Fixed effects: is there more?

I'm following the tutorial Fast Fixed-Effects Estimation: Short Introduction of the R package fixest. The very first example is: ...
robertspierre's user avatar
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Understanding the Role of Firm Fixed Effects (a_i) in Panel Regression

I'm seeking clarification on the use of firm fixed effects $a_i$ in the following panel regression equation: $$y_{it} = \beta_{i}x_{it} + a_{i} + u_{it}, \quad t = 1, 2, \ldots, T$$ From my ...
Newbie's user avatar
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1 answer
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Fixed effects - issue

Suppose I have a longitudinal dataset in which each country $i$ is observed at different points in time $t$. Suppose that my dependent variable is a dummy variable, and I want to estimate the ...
Maximilian's user avatar
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36 views

Fixed effects in dyadic panel data, development aid

I'm working on my thesis project and wondering which fixed effects to include in my panel data analysis. My dataset is of dyadic structure (one column indicates donor country and one column indicates ...
livk's user avatar
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1 vote
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Inlcuding grouping controls, which are based on the explanatory variabels, in a random effects model

Background I have (unbalanced) panel data of a set of agricultural firms. I am attempting to estimate the effect of the surface area of crops (wheat, potatoes, onions, sugar-beets, corn) on the fixed ...
Tom's user avatar
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Within transformation vs. first differencing in the over-identified case

I have the following fixed effects model: $S_{it}=D_{it}'\gamma + \alpha_i + \epsilon_{it}$ My textbook says i can use first-differencing and derive a moment function that overidentifies $\gamma$ for ...
Katharina K's user avatar
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68 views

Fixed effects regression drops estimates due to collinearity for more aggregated FE, but not for less aggregated FE

I am running a fixed effects regression in r using the fixest package with a few different settings. I cannot provide data that replicates the errors, as the ...
flâneur's user avatar
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31 views

Event study using Panel data or Fixed effects

I am looking to analyse the impact (causal effect) of a conflict on firm valuation (using daily prices) for a sample of around 800 firms (I currently have this data over a sample period of around 365 ...
mek1401's user avatar
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1 answer
38 views

Interpretation of interaction term coefficient in fixed effects estimation

I have balanced panel data for 14 industries and 21 years. The data consists of several variables with annual observations. Based on theoretical reasoning and visual data inspection I assume that ...
MaMö's user avatar
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1 vote
1 answer
34 views

How this categorical variable have no reference value?

I'm reading the vignette for fixest After fitting this model for trade between countries: $E\left(Trade_{i,j,p,t}\right)=\exp\left(\gamma_{i}^{Exporter}+\gamma_{j}^{Importer}+\gamma_{p}^{Product}+\...
robertspierre's user avatar
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Panel Event Study

I want to perform a panel data event study using quarterly data. I have collected time series data on stock prices for approx. 1000 firms from 29 different industries over a 365 day period. My goal is ...
mek1401's user avatar
1 vote
1 answer
41 views

Instrumental variable for panel data

I am trying to quantify the effect of financial sanctions on cross-border capital flows. I have built a dyadic dataset of sanctions and capital flows by country pair and year. My sample period spans ...
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