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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What is the mathematical difference between random- and fixed-effects?

I have found a lot on the internet regarding the interpretation of random- and fixed-effects. However I could not get a source pinning down the following: What is the mathematical difference between ...
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1answer
42 views

Where is variation coming from regressions with continuous variables and state and time fixed effects?

Say first I am regressing $Y_{st} = \beta X_{st} + U_s + \epsilon_{st}$ where $X$ is continuous varying at the state time, $U$ are state fixed effects, and $\epsilon$ is the error term. If I ...
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Do we need fixed effects in Neural Networks?

I have a background in econometrics, and generally when we are working with panel data (i.e. there's a time-series as well as a cross-sectional dimension), we would include fixed or random effects. ...
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What does it mean exactly to have marginal (population-averaged) or subject-specific effects, say in mixed models vs. GEE?

I know that mixed-effect models produce subject-specific answers and the GEE produces marginal effect. But I don't get it very well still, I'm sorry for a silly question. Let me explain what exactly ...
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Panel regression in R - variable dropped after processing

In the context of my Master Thesis, I need to evaluate the option expiration effect (third Friday of each month) on the trading volume using R. Since I have daily trading volume observations for a ...
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2answers
207 views

Panel Data, Fixed Effects regression

I have a question about the fixed effects model. I have 25 manufacturing sectors for a 12 year period (balanced panel data set) and I try to find out the effect of each sector's investment ...
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1answer
36 views

Fixed Effect vs Random Effect Models [duplicate]

Can anyone tell me what is Fixed effect and Random effect models? How to make out that when to use fixed effect and random effect model? What algorithms are the examples of fixed effect and Random ...
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0answers
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Logit Model for panel data [r]

I would like to ask preferably preferably econometrics and statistics community about logit model for panel data. When dealing with panel data one must take into account individual effects (...
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1answer
202 views

Run fixed effect and logit regression on a national survey that need to be “weighted” in R?

I am a beginner user of R. I am using a national survey to test what variables influence the participation in complementary pensions (the participation in complementary pension is voluntary in my ...
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Linear Regression: Identify contribution of each covariate for a given prediction

I have a fixed effects regression model. I can look at the coefficients of the model to identify, broadly, how they affect my response. However, I'd like to determine an attribution model thereafter ...
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Effect of control variables on treatment effect in fixed effects model versus difference-in-difference

I would very much appreciate if someone could explain to me intuitively the following: Lets say I have an arbitrarily constructed data set (two time periods, 10 individuals). It comprise of four ...
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0answers
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Do specification differences make a difference in difference-in-differences?

My question relates to the following post: How do I interpret a "difference-in-differences" model with continuous treatment? I am reproducing an equation from Acemoglu, Autor and Lyle (...
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Matching with panel data and time-invariant treatment

I have panel data with municipalities in years being the unit of analysis. I want to examine the effect of industrial mining on interpersonal trust on the municipality level. The social trust data ...
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13 views

Fixed effect model

I performed the F test to test the presence of fixed effects in the model. Since p-value = 1, there are no fixed effects. With this in mind, does it make sense to interpret the model's coefficients? ...
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1answer
471 views

Cross-sectional independence tests returning p-value NA

I'm a Master student researching for his thesis. In a panel data analysis, I have a sample of 141 observations related to airports. First lines are: ...
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1answer
570 views

Interpretation of Fixed Interaction Effects in a Linear Mixed Model

I have a linear mixed model for predicting speed of a street crossing by a pedestrian with the factors VS (vehicle speed), GAP (selected time gap size for crossing), the interaction factors VSxGAP and ...
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2answers
135 views

Predicting Dependent Variable with Fixed Effects Model

I am currently working testing the effects of aid on inequality. I am using panel data, and the model looks something like the following: ...
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0answers
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multiple fixed effects in non-linear model

I'm trying to understand how to include an interaction/multiple fixed effects into a non-linear model. I have a data set with two independent variables (temperature and nutrient concentration) and ...
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1answer
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How to obtain a distribution of the unobserved time-invariant fixed effects in a fixed-effects regression?

I am running a fixed-effects unbalanced panel regression using the plm package: ...
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0answers
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Main effect omitted as it is time-invariant. Is including the interaction without the main effect an issue?

I am interested in the impact of Unemployment (U) on Gross Domestic Product (GDP). I also want to check if the effect is different for developed countries and developing countries. I am using 10 ...
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Endogeneity, Treatment Bias and System GMM

I use FE/RE Hybrid estimations (Allison 2009) in a three wave panel data, and my 10 independent variables, one of which is my main concern, seems to give expected results. Yet, Vaisey and Miles (2017)...
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1answer
152 views

Does a panel regression model make sense for my data?

This might be a bit of a newbish question, but I recently picked up a forecasting project at my job, and I'm trying to figure out whether it makes sense to run a panel regression like a Fixed Effects ...
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Testing for Nickell Bias

I'm running a lagged dependent variable regression with panel data. There are 5 panel units and 20 years of data. I'm also including unit dummy variables. I know this is potentially a problem, ...
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0answers
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Workaround for marginal effects and their significance in panel models when there is no such a package (in R)

I figured out that margins (from R, mimics Stata) is a good way to get marginal effects (and their significance, CI, ...) for ...
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1answer
211 views

Fixed effect and clustering with 3 dimensional data

I have a sample of banks. These vary across time, rating agency and across countries. UPDATE: I trying to capture the effect of a regulatory change (dummy variable, 0/1) on a banks credit rating. I ...
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0answers
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How to calculate the observed absolute treatment effect?

I'm reading this article. The authors indicated that for a random sample of 12 characteristics and 3600 patients affected in tow arms (control and treatment arm), they fitted some treatment effect ...
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1answer
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Negative Adjusted $R^2$ in twoway effects within model

I am having serious trouble understanding the results of my Fixed Effects panel regression. I am using two fixed effects (on year and regions) and I get a negative Adjusted R2 (i am using the plm ...
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1answer
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Where are the Wald p-values and where are the LRT ones in the resulf of mixed models? [closed]

I read, that there are many methods of determining the degrees of freedom, thus calculating the p-values for fixed effects in mixed models. I read, that the worst is the Wald test and the Log-...
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1answer
121 views

Do demographic variables need to be standardized when population size is included as a covariate?

I am doing a fixed effects regression where the dependent variable is number of people in an treatment facility in a given state/year. We are also including a population size control variable. I am ...
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1answer
182 views

weighted IV estimation by plm

I apply plm package to do fixed effects IV regression but find something which I couldn't understand. Theoretically, if we only have one endogenous variable and one IV, the IV estimator should be ...
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1answer
124 views

Comparing Polynomial and Linear Model

I have a panel data with unbalanced panel. I am testing a non-linear relationship. I tested a polynomial(quadratic) model for this purpose with following codes in stata. ...
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1answer
153 views

Panel data model for time variant Y with time invariant X?

What is the appropriate panel data model when you have time dependent Y, but the X's are time-invariant (apart from the implicit time variable itself of course)? My desired model is analogous to the ...
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1answer
152 views

Sharing of information and borrowing of strength. What models are there

I am currently working on identifying all the methods that have been implemented in all kinds of disciplines in order to borrow strength. If you have ever used, or came across such methods i would be ...
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1answer
198 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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1answer
112 views

What is the difference between Generalized Linear Models(GLM), Fixed-effect models (FE), and Random-effect models (RE)? [duplicate]

I am new to statistics and I am looking for a general answer. Can someone explain (very simply) what is the relationship between Fixed-effect & Random-effect models with Generalized Linear Models? ...
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1answer
63 views

Counterfactuals in Econometric Modeling (Abortion-Crime Hypothesis Revisited)

Donohue and Levitt (2019) recently published a working paper revisiting the abortion-crime link. My question is specific to equation (2) in their paper (see below): $$ ln(CRIME_{st}) = \beta_{1}...
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1answer
28 views

Panel OLS: regression per industry

I did a Panel data regression with 4,000 U.S. firms of 12 different industries over a period of 20 years. I also included several control variables and controlled for the year and industry effects. ...
2
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1answer
877 views

PLM: Keep dummy variable in Fixed Effects / Random Effects analysis

I have a short panel dataset that I want to analyze. It contains panel data of multiple individuals. Each individual is assigned to 1 of 4 treatment groups and I am interested in the effect of these ...
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3answers
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R's lmer cheat sheet

There's a lot of discussion going on on this forum about the proper way to specify various hierarchical models using lmer. I thought it would be great to have all ...
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1answer
934 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 cross-...
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1answer
10k views

Using first differenced variables in fixed effects model

It might be a basic 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 run fixed ...
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1answer
196 views

Is there no way to include “industry fixed effects” in an FE regression?

Dear statistics community, I am running a model in Stata of the following form: xtset CompanyID Year, yearly xtreg firm_profitability firm_investment_strategy firm_size, fe vce(robust) I would now ...
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0answers
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Panel data regression (R)- temperatures at weather stations correlated across time and across stations

I have a balanced panel dataset with a few dozen weather stations' hourly temperature readings across several decades. I have a measure of population density around the weather station over time as ...
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1answer
20 views

Hausmann test for Fixed vs Random Effects Models

I run a fixed and random effects model with the same variables and got similar results. The Hausmann test indicated (=1) that I should use the Random Effects Model. However, when I added a lag ...
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1answer
2k views

Regression: fixed effects vs. random effects vs. first differences?

I'm learning econometrics and I'm stumped with a textbook problem. Use the JTRAIN dataset (which provides information on manufacturing plants in Michigan from the years: 1987, 1988 and 1989) to ...
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34 views

How to interpret a fixed effect model

I am doing a research for a school project and I have a hard time to interpret my results from a fixed effect model. So far, I found this:Interpretation of fixed effect model (panel data). Though, it ...
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0answers
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How to interpret not significant fixed effects?

I tried to make a fixed effect model to see the causal effect of GINI (independent variable) to Criminal violence (dependent variable). This is how I did: I took 2010 data and 2016 data. (t1=2010 and ...

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