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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Is the lack of independent variables a problem in a fixed effects regression?

I am currently working on a research project for my Master's degree. I use panel data at the country-month level but I have a problem of data availability regarding my topic, because besides my ...
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Fixed effect model

I'm currently working on modelling how house prices have changed in the last 5 years, with dummy variables for property type and region. I know that there is likely to be unobserved heterogeneity as ...
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Empirical estimand of an ATE in a fixed-effects model

Given a fixed-effects model, with a treatment $D$, covariates $X$, and groups $G$: $$Y_{i,g} = \alpha_g + \beta X_{i, g} + \theta D_{i,g} + \epsilon_{i,g}$$ I'd like to get the empirical estimand (as ...
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Fixed effect model: different estimation approaches with R - how to demean variables - unbalanced panel

I want to use R to estimate a fixed effects model using different estimation approaches. Note that I am using an unbalanced panel. The easiest way to do this is using the function ...
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Controlling for both time fixed effects and "entity invariant" variables

I have a question about a panel data regression model in general. I have firm-level data in a single country. Is it okay to control for both time fixed effects and entity-invariant variables, such as ...
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Change versus level regression

I tried running a panel regression of y on contemporaneous x variables, and again using the change in y from year t-1 to year t. I am getting the opposite sign on my variable of interest (VOI) if I ...
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Difference between fixed effects model and Random effects with varying intercept

According to my understanding fixed effects gives different intercepts for different clusters and so does random effects model with fixed slope and varying intercept. This is the sample data used. I ...
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How to run a panel with simultaneous equation model

I am doing a project with my professor and I am using R. We are trying to solve reverse causality problems with a set of equations. The equation system/model is below (Z is control variables set): $$...
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Error in Fixed Effects Model

I want to do a fixed effects model on a dummy dataset which has 3 columns depicting severity of patients and their survival rate in different hospitals. The SURVIVALRATE is the dependent variable and ...
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Error structure for fixed effects model

Just theoretically, I am wondering about use cases for cluster-robust standard errors and fixed effects models in conjunction. Let's say I have a panel 10 firms over 20 years and I choose to use fixed ...
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Rescaling in within transformation - Fixed effects model

I have been studying fixed effects models recently and I am stuck at within transformation. According to my understanding the dependent and independent variables are demeaned wrt clusters and ...
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Failing to recover correlation parameter from a linear fixed effects model with correlated errors simulation

I am trying to simulate some data from a linear fixed effects model with correlated errors. The model is quite simple, inspired in a pre-post study. $$Y_i|X_i=x_i\sim N(x_i\beta,\Sigma_i)$$ where $Y_i=...
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How does a 'basic' panel regression model with fixed effects looks like?

I have modeled a basic panel data regression model under fixed effects in Stata. Specifications and results are clear. But, now I want to write down the model in lets say general formation. I spent ...
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Clustering fixed effect for difference in difference

I am trying to investigate the impact of a treatment (deep clean and restocking) on sales of individual product lines with an observational analysis similar to difference in difference. The treatment ...
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Panel data regression with time varying treatments and fixed effects

Experts, I have some trouble concerning my regression model for a panel data analysis. The dataset includes observations of 200 firms over a period of 6 years (2000 - 2005) regarding merger activities ...
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Stata: Difference-in-Difference model with time variant treatment?

I want to measure the effect that a treatment (merger) has on firms (y). Therefore, I have panel-data for 6 years (2010-2015), consisting of about 1,500 firms. There are 100 firms that are somehow ...
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Instrumental Variable Transformation Question on Fixed Effects model

My question is regarding something my professor did, but I didn't understand the purpose of it. I have panel data for 1052 municipalities from the year 2003 to 2019. I have a variable that tells me ...
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felm R function doesn't kick out time-invariant variable despite fixed effect

I noticed that the felm-function doesn't kick out time-invariant variables, despite controlling for fixed effects. My data: I am using individual-level data with a monthly panel over four years. In ...
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How is this simple event study design collinear?

I am trying to estimate a very simple model in the form: $Y_{it} = a'D_{event} + b'D_{i} + c'D_{t} + e_{it}$ With the outcome $Y$, the individual fixed effects $D_{i}$, calendar year fixed effects $D_{...
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Would a multilevel model (random effects) suit better

I have a question about whether multilevel modeling is appropriate in my situation. I’m working on an analysis looking at the effect of an training camp for factory workers in 20 different factories ...
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Understanding FE explanatory power

I am trying to understand what is going on in terms of the additional variation explained by my fixed effects. The set up is as follows. I have a a data set of roughly 3929 firm acquisition events ...
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What panel data assumptions hold true when the underlying process is pooled cross sectional?

Most econometric textbooks convey that panel data contains both an entity and a time component, and that the entity can be individuals, firms, counties etc. The assumption we need to deal with in ...
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Interpretation of Causal-Moderator Interactions of Time and Treatment variables when Time Main Effects are Colinear with ID Fixed Effects

I have some results from a recent paper and I want to make sure my reasoning is correct in its interpretation of the coefficients. In order to disguise the inflammatory nature of the model, I will ...
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Is using region-year fixed effects better than using region fixed effects and year fixed effects?

Suppose, I have a panel data set at the county level and I want to run a regression. Could one say it would generally be better to include county-year FEs instead of county FEs and year FEs since ...
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Why does my predictor in two-way fixed effects models have opposite signs in the full panel data vs. period time subsets?

I have a heavily unbalanced panel data set in which certain entities are missing on the DV in certain years. On this data set, I run the two-way fixed effects model: ...
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Understanding fixed versus random effect

I am trying to get my head around the difference between a fixed effect versus a random effect. To do this, I am looking at the Student GPA example seen here (from m-clark.github). This example is &...
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How do I interpret changing signifiance depending on fixed effects used?

I am currently running an analysis with a fixed effects regression on whether name similarities between mutual fund investors and leadership of invested company has an impact on the weight that ...
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Forecasting with panel data/ time series

I have three questions for you regarding the prediction of panel data. There is a function predict.plm() in the plm package for <...
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Applying household instead of individual fixed effects with person-year unit of analysis?

I'm trying to estimate a conditional logit model with fixed effects for a panel study with person-years as the unit of analysis (clogit in Stata or R, fixed effects ...
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Fixed effects or independent models?

Suppose we are running a model, let's say a linear regression model or a logistic regression. Suppose also that we have gathered data for three cities: City A (4000 surveys), City B (5000 surveys) and ...
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Month nested under treatment or treating month as a random effect?

I am trying to decide if I should put the months nested under the treatment group or I should put them as random effects. The context of the experiment is that the same set of students will submit the ...
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Generalised Methods of Moments

What is the interpretation of [j-statistic= 30.061647 and prob(j-statistic)= 0.311296] #2. If in fixed effect model 1 variable turned out significant and in GMM 2 variables turned out significant-...
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Binary logistic regression panel data

I look at a binary DV for 139 companies over 8 years. Thus, I have panel data. I have three IV, of which one is also a binary variable, and several control variables. As it is the first time that I ...
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Clustered Standard Errors or Fixed Effects Multiple Regression?

I know similar questions have been asked, but I am still very unsure about what's the appropriate method in my case and what the benefits and downsides of each approach are. For my Master thesis, I am ...
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Does it make sense to include interaction term in Panel Data model?

Suppose I have a One-way Fixed Effects model: $$ Y_{it} = \alpha + \beta_1X_{it} + u_{i} + e_{it} $$ $ v_{i} $ is the individual specific error. I have to test the hypothesis that the positive effect ...
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Can using dummy variable be counted as using time fixed effect or or year effect?

I am currently using 2 dummy variables: -A dummy variable 'Crisis' which captures the effects of the Great Recession of 2007–2009 and COVID-19 (and takes a value of 1 for the years 2009 and 2020 and ...
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Why does my mixed effects model fail to converge when fixed effects are added? How do I solve this problem?

I'm running a study in which participants rate the politeness of two different types of smiles (two levels: rewarding and affiliative) presented in three different situational contexts (three levels: ...
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Fixed-Effects Correlated with Another Dummy

Question regarding convention in econometrics. Suppose I am running a two-way Fixed Effect (FE) model on a District-Year panel. Year varies from 2000 to 2010. Suppose I want to examine the effect of ...
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Fixed effects in pooled cross section data

I am using two rounds of nationally representative dataset in which the samples are different. While the literature says that we cannot apply fixed effects in polled cross section data but I ...
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Interpretation of Within-Between Models with Binary DVs

Suppose that we have a 3-waves dataset. We have some qualitative states for each wave, let's call them State 1 and State 2. Let's construct a change variable Change: Change is all 0s at Wave 1 (...
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Normality test vs Gauss Markov assumption for panel data

I am doing fixed effect regression after conducting hausmann test on panel data. I received significant results in line with what's expected for my model. My data set has around 6000 observations and ...
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Regression discontinuity with stratified assignment to treatment

I am working on running a regression discontinuity model where the "random" assignment to treatment occurs at a different level from the outcome variable. Essentially, the forcing variable ...
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How to solve a multiple regression with country and sectorial dummies + third difference euqation? Need help for my master thesis!

I'm currently writing my master thesis about the topic "How do firms respond to rising cost of carbon - an analysis from the EU Emissions Trading System (EU ETS)?" In general, research on ...
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Restricting sample to ensure parallel trends in difference-in-differences?

I have large N individual-level data for four periods. The outcome of interest is whether a particular annual event was attended (binary) and is observed in all periods. The treatment of interest is ...
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Sample location: Fixed or random effect?

I work with a dataset that includes location (called "station"; n=47, per season) as a variable and I'm having trouble deciding if it's a fixed or random variable. I found this post helpful: ...
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Multinomial logit vs. expanded panel regression

I want to show that firms tend to be founded in MSAs with other firms operating in similar industries (e.g., average cosine similarity with every existing firm in the MSA). I am considering the ...
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TWFE Event Study Design Under Staggered Adoption

This discussion provides an excellent summary of TWFE event study model. However i have one estimation related question regarding dynamic TWFE model. In STATA we execute the the following code to ...
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fixed regression coefficient

I study agricultural genomics. In a study I am reviewing, a multiple linear regression model was used for calculation of an independent variable, and the estimated random residual errors from these ...
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Negative binomial fixed-effect

I have a dataset of tweets, and I want to find the relation between the tweet features (like the number of stop-words, numbers of a specific word appearing in a tweet) and the number of likes. To this ...
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Omitted Dummyvariable in PLM Model

today I came across a strange problem. I found a panel data set online today with the number of cigarettes smoked (for the period 2005-2010). I first estimated a model with no fixed effects, but with ...

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