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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23 views

What kind of econometric models would be appropriate to determine the presence of a causal relationship?

I am conducting some econometric research on the impact of austerity on birth rates in the UK. I would be using publicly available data from the UK government covering the number of births per year, ...
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“The matrix is either rank-deficient or indefinite” error in fixed effects linear model (felm)

I estimate various felms in R, which worked fine until I added covariates from t(the year of the merger)-2. I estimate the effects of a merger on RD expenses in t till t+3, and have covariates of RD ...
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Robust panel data regression

I have to improve my panel data analysis by detecting outliers. I already tried by removing them manually. Do you know some function running robust fixed effect or random effect model? There is ...
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Analyse cohort differences via Linear Mixed Model if n(cohort)=2 : fixed or random effect?

I am a biologist how is working with relative abundance data of the microbiome derived from 16S rRNA sequencing. I'm comparing the changes of abundance from different bacterial taxa in people who ...
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Panel Data & Industry Fixed Effects [closed]

For my thesis I am using Stata 16 to do my research. I'm fairly new to Stata and have a question regarding fixed effects. I tried finding the answer by reading other questions but I'm a bit confused ...
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1answer
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Beta regression or fixed effect regression

I am using panel data for 27 different countries in 5 different time periods. My IV and DV both are in fractional form (0,1), i.e., in percentages. Please guide me, if beta regression is appropriate ...
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Can I partial out covariates with true coefficients known in Logit? [closed]

Suppose the model is $$ \ln(\frac{P}{1-P}) = X\beta_0 + A + \epsilon_{ij} $$, and I know $\beta_0$ and thus $X\beta_0$. Think of A as a high-dimensional fixed effect term. Can I partial out the effect ...
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In R, Fixed effects regression model drops time invariant variables, is random effects model equally good instead?

I have unbalanced panel data and want to fit a regression model with the degree of internationalization of a firm as dependent variable, measured in the ratio to foreign sales to total sales (fsts). ...
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Stata: testing for serial correlation in residuals of fixed effects model (xtqptest on reghdfe)

I want to test for first order serial correlation in the residuals of this Stata regression model: ...
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1answer
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Concerns about pre-trend stability testing

In this discussion, @Thomas Bilach well explains the equation to test pre-trend stability. $$ y_{kt} = \alpha_k + \lambda_t + \delta_{-2} d_{k,t-2} + \delta_{-1} d_{k,t-1} + \delta d_{kt} + \delta_{+1}...
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Defining a binary treatment based on a proportion

I want to explore the effect of bringing in more female students into a classroom on the existing individual students' performance using a panel dataset. However, there is no particular policy change ...
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What arguments can be used for/against clustering standard errors and/or estimating coefficients using the fixed effects model?

I'm writing a thesis based by using the following papers as a starting point: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3051151 https://www.sciencedirect.com/science/article/abs/pii/...
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Fixed effects in DAGs

Let's imagine I'm interested in studying the causal effect of beliefs in some ideas and behavior related to these ideas (say, if I believe sunscreen is good for my health, I use more sunscreen etc.). ...
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How to get the weights of coefficients of treatment effect from De Chaisemartin,2020?

Thanks to the suggestion from @Ariel in this discussion, I visit this paper and face a problem. The DID equation is $$Y_{i,g,t} = \alpha_g + \alpha_t + \beta D_{g,t}+e_{igt}$$ $Y_{i,g,t}$ is the ...
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Is it appropriate to use state or time fixed effects in a difference-in-differences model?

I am running a regression which analyzes the effects of a state level policy on crime rates in America. I am using the difference-in-differences estimator and I'm not sure whether I can still add ...
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1answer
51 views

Whether we need to control for firm fixed effect when the law is at country level?

From the discussion of @Thomas Bilach here, The "group" fixed effects is technically referring to the panel unit. If the panel unit is firms observed over time and the policy impacts some ...
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How to clarify the difference between group-fixed effect and firm-fixed effect in generalized DID?

In generalized DID (the DID apply for multiple groups and time periods), the author mentioned the group-fixed effect and I cannot understand it In this paper, regarding generalized DID, the author has ...
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fixed effects model: efficiency

Suppose I have flight delay data for multiple airlines. I want to estimate the fixed-effects model and choose aircraft to be a cross-sectional unit. Therefore, I include aircraft fixed effects in the ...
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1answer
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Assumptions of the random-effects ANOVA

Wilcox (1994) writes on p.289 that The usual random effects model is that for $J$ randomly sampled groups, $X_{ij} = \mu + a_j + \epsilon_{ij},$ where $X_{ij}$ is the $i$-th observation randomly ...
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Mixed effect modelling

In R, I wish to perform linear mixed effect models by assigning the terms QY, ALOS and expenditure as fixed variables and Month as a random variable. Is this the right format to perform the analysis? (...
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3answers
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Would year fixed effects control for national trends in behaviour?

I have panel data on individuals followed before, during, and after the Great Recession. I study the effect of an individual experiencing unemployment on their weight gain in a fixed effects analysis. ...
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Type of regression

I'm studying labor economics this year, although I'm from sociology. I would like to know if you guys could answer my doubt about a regression. In this study, the author says that will use variations ...
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What are the covariates/explanatory variables in a news sentiment model?

In "Measuring News Sentiment", a working paper by the Fed, we have the following model:. The index $a$ indexes the news articles. A fixed effect is a term (random or not) which is allowed to ...
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Why multicollinearity increases with country fixed effects in linear model in r

I'm playing with some multiple linear regression models in r. After I run a regression, I use vif() to see if there is multicollinearity between my predictors. For ...
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Specification tests in panel data models

Are there any specification tests that I could perform to compare (choose between) several models? In fact, I perform fixed effect estimation (I have already tested FE vs RE/ RE vs OLS) but now I ...
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Hierarchical structures: fixed effects estimations - how to choose which fixed effects to include?

How to choose cross-sectional units when estimating fixed effects? I have flight delays as the dependent variable and my data consists of 15 airlines, thus, multiple aircraft. Initially, I thought to ...
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How can I choose type of regression for panel data?

I would like to do a research thesis where I investigate whether exists a linear relationship among a ratio commonly used by firms and a set of dependent variables. I know this is very general but I'm ...
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Correlated random effects model: fixed effects and time effects; Mundlak specification

$Y_{𝑖𝑡}=𝛼_{i}+𝛾_𝑡+𝛽𝑋_𝑖+𝛿Z_{𝑖𝑡}+𝜖𝑖𝑡$ In my model, I have an unobserved heterogneity($𝛼_{i}$) and time effects ($𝛾_𝑡$). Instead of using the within transformation, I want to apply the ...
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Lagg/lead variables

Please, I have a simple question related to the variables time series. I am using panel fixed effect regression to see the impact of instrument issuance on firm performance. My independent variable of ...
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Panel data: how to choose cross-sectional units in hierarchical model

I am working with panel data and I have flight delays for multiple airlines as a variable of interest. In order to proceed with estimations, I need to choose the cross-sectional units. I have a choice ...
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1answer
84 views

Fixed Effects, Random Effects, Pooled OLS: Hausman and Breusch-Pagan Lagrange multiplier (LM) tests

I have encountered that whenever deciding upon the model for panel data, it is suggested to perform the Hausman test first and the Breusch-Pagan Lagrange multiplier (LM) test should be performed only ...
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Should I use fixed effects or first difference?

I have a panel data which N = 189 and T=3. My dependent variable is growth rate of GDP per capita. I wanted to know which model should I use in this case? Should I use fixed effects or first ...
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38 views

Breusch-Pagan Lagrange multiplier (LM), Hausman tests

I'm working with panel data and want to decide which model I should use: pooled OLS, Random effects, or Fixed effects. When I run the Breusch-Pagan Lagrange multiplier (LM), it says pooled OLS is ...
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intracluster correlation coefficient: are standard errors valid?

I am working with panel data and I want to estimate the fixed-effects model. I suspect that SE might be misleading due to (possibly) the necessity of clustering. Would the intracluster correlation ...
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9 views

Panel regression with an added smooth function

I would like to estimate the following regression model $$\log p_{it} = x_{it}^\top\beta + \mu_{m(i,t),t} + \epsilon_{it}$$ where the dependent variable is log housing prices and $x_{it}$ are housing ...
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1answer
56 views

Fixed effects model nonsense result in R [closed]

im trying to create a simple fixed effects model of the impact minimum wages has on youth unemployment rate in europe but keep getting nonsense results. I have a panel data of 19 european countries ...
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8 views

Adding fixed effects to a mixed effects model (where the fixed effects are the same level as the random effect)

I have a theoretical question about mixed-effects models. My understanding is that we used fixed effects when we are trying to asses the effect of a specific variable on our outcome. We use a random ...
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1answer
28 views

Chamberlain’s random effect probit model

Why is Chamberlain’s random effect probit model referred to as a random effect model, even though the idea behind such a model is to introduce a correlation between the unobserved heterogeneity term, ...
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1answer
23 views

Fixed Effects or Mixed Effects?

Assume I have the following model. lm(DV = BetweenSubjects1 + WithinSubjects1 + Control1 + Control2 + SubjectID, data = df). BetweenSubjects1 is a binary variable ...
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35 views

Quarterly time series, year-fixed effects

I am trying to inspect the heterogeneous effects of a USA-based shock on a panel of countries using quarterly panel data. My variables of interest are the USA-based shock which has only temporal ...
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Dimensions in panel data

I am working with panel data, in particular, I have information regarding flight delays for 10 airlines within one month. The number of aircraft vary per airline and, obviously, the number of flights ...
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How to model first difference estimation with interaction terms

I trying to get my head around asymmetric fixed effects with interactions terms. I understand most of: Allison, P. D. (2019). Asymmetric fixed-effects models for ...
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Fixed Effects Regressions with Time and Individual Fixed Effects

Good afternoon, The following questions are to essentially check whether I am carrying out the correct econometric regressions free from any errors before computing them on Stata to get some results. ...
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Checking for reverse causality with lead regression, should the lead model be in its original state i.e. no transformation? [duplicate]

Im checking for reverse causality with a regression including leads. The reasoning is that the coefficient of the lead should not be significant if no problem with endogeneity. The original model is: $...
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17 views

Panel model with TE varying across clusters

I have a model to estimate of the next form: $$y_{it}=\nu_{h(i)}+\mu_{r(i),t}+\beta_{h(i)} x_{r(i)}+\epsilon_{it}$$ So each of the observable is in two clusters simultaneously: $h(i)$ is a holding of ...
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1answer
45 views

Multicollinearity with fixed effects regression and dummy variable

Im doing a fixed effects regression on a panel data with $N*T=870$ observations where N = 290 and T = 3. The entities are districts observed over a total of 3 time periods. I want to interact my main ...
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Interaction of explanatory variable with time trend in a panel data fixed effects model

I searched but could not find another post directly addressing this. I am interested in specifying a model where a certain policy or 'treatment' variable affects not only the the level of the ...
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1answer
39 views

Interpreting a log-level model: Dummy is switching 'on' and 'off' over time

How does the interpretation of the coefficient on a dummy variable change in settings where the indicator is switching 'on' and 'off' repeatedly over time? Suppose I have complaint data on hotels $i$ ...
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1answer
34 views

Probit with fixed effects

Could anyone elaborate on why fixed effects (or within estimator) will not work in the probit setting? Thanks in advance.
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Main regressor becomes insignificant when including time fixed effects in a fixed effects model

My panel data contains 290 id's observed in 3 different time periods, the 3 last election years in my country. I am trying to estimate the effect of $x$ on $y$ with a fixed effects model. My first ...

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