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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Testing for correlation of two (or more) variables

I have a data set with almost just nominal/categorical variables and one integer. I would like to do mixed effect models (due to having fixed effects) with the data but my models are not converging. I ...
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Low F-ratio in Linear Mixed Models: misspecification?

I run a Linear Mixed Model in R (lme4) and got a very low F-ratio (0.001; df1: 1, df2: 6) for one of the fixed factors (which consequently came out not significant). Does that imply some kind of ...
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Understanding how to tell whether random effects assumption is sufficiently violated to pose a problem in practice

Consider a situation where I want to predict a binary health outcome for patients with various medical conditions, who are treated at different hospitals. I want to use patients' medical conditions as ...
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Regression coefficient for a logged dependent variable

I am running into a puzzling econometric issue. Here is my data set-up and the model: I am using a two way fixed effects model on a panel data of states. For regression results, I take natural log of ...
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Trouble to interpret and decide witch variation of fixed effect model to use - variables in levels or differences

I am having trouble in deciding which regression to use in a project. I want to test whether changes in tariffs ($\tau_{st}$) on sector $s$ are related somehow to changes in employment levels $y_{ist}...
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Backtransform a log-odds transformation of the dependent variable in a Fixed Effects panel regression

I'm modeling a fixed effects (within) panel regression for a fractional dependent variable (DV) bounded between 0 and 1. My aim is to model the relationship so that I can predict the frational DV on ...
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Skepticism about the claims of instrument variable validity/exclusion through a statistical test—the Arellano-Bond Test (cross-posted)

I am an applied researcher and occasionally come across papers that have panel data and that use dynamic models with both a fixed-effects term and lagged DV (or multiple autoregressive terms): $y_{it} ...
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Model fit is improved ONLY by random effects in linear mixed effects model

I am trying to evaluate fixed effects by model comparison using lme4. Every time I add fixed effect, I also add corresponding random intercept and slope. When I compare a model with fixed effects (m1) ...
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R Extract Log Likelihood from a plm object [migrated]

I would like to extract the log likelihood from a plm object. It works fine when using the logLik function from the base ...
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Does the coefficient from regressing a binary variable on a binary outcome only show the effect of when that binary variable is true?

I have a conditional fixed effects logistic regression of parental health shocks (0 if no shock, 1 if health shock) and clinically problematic child development (0 if no development problems in the ...
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Choice between static and dynamic panel regression

I have a panel dataset with countries as individuals observed per year. My analysis concerns a macroeconomic study and as often happens in these cases (I would not be wrong but they are commonly ...
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Which categorical variable encoding should I use if I want the model intercept to have the interpretation of the global mean?

In a mixed effects model $$ y_{ij} = \beta_{00} + \beta_{01} x_{1i} + \beta_{02} x_{2i} + \beta_{03} x_{3i} + u_i + \epsilon_{ij}$$ where $x_1, x_2, x_3$ are dummy variables coding the levels of a ...
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Using a standard OLS linear regression or a panel model for small sample size

I have created a dataset involving certain NLP variables for news-websites over time. The data involves six news-websites which are observed over 27 time periods with some missing data. As I only have ...
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Cluster standard errors at the individual level in a panel

I am replicating findings of a paper that uses a panel of US counties. The baseline specification is a regression like this: $$Y_{zit} = T_{zit} + X_{zt} + a_{t} + b_{i} + u_{zit}$$ Where Y is an ...
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Cluster issues for treatment effects analysis

I'm doing a Difference in Differences exercises on 32 regions within a country to test for the effect of a policy intervention. However, only 1 of those regions has been subject to the intervention; ...
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Interpreting dichotomous independent variable in two-way fixed effects models

Good evening, Apologies if the question has been answered, but I did search through the archive and did not find something similar to my question. I am curious if I am interpreting a categorical ...
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If fixed effects and robust standard errors both necessary, do they have to be at the same level, and why?

I am working on an empirical paper using repeated cross-sectional data, and a reviewer has asked that we cluster our standard errors at the same level as our geographic fixed effects. Given the ...
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Fixed-effects using demeaned data: Why different standard errors when using xt/reg?

My question is equivalent to this post: Fixed-effects using demeaned data: why different standard errors when using -plm-? which asks for getting the same SE in time demeaned regression as in fixed ...
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Time Fixed Effects vs Structural Break

I currently have a panel data set that contains the quarterly increment of loans initiated from more than 300 cities in China over the period from 2011Q1 to 2020Q2. I want to examine the impact of ...
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Group centering for interactions with within-between mixed panel model

I need to update a model to incorporate an interaction between a time-invariant categorical variable and a demeaned time-variant variable. I'm unsure about how to correctly use group-mean centering ...
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33 views

Why do the coefficients of cross-sectional fixed effects and time fixed effects become zero?

I currently have a panel data set that contains the quarterly increment of loans initiated from more than 300 cities in China over the period from 2011Q1 to 2020Q2. I want to examine the impact of ...
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How to estimate panel data where not all variables are correlated with the individual specific effect?

For an assignment in my masters course microeconometrics I am working with panel data. I need to model log(wage) with gender, race, number of weeks worked in a year, experience, years of education, ...
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How to analyse interaction effects in non-linear (ordered) fixed effects?

I investigate an interaction effect in a linear (base model) and non-linear (robustness check) fixed effects model. My dependent variable is ordered (satisfaction on a 11 point scale), in my base ...
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Do fixed effects models work on non-panel data?

I'm working with a logit model that contains the following variables: Dependent Variables: Self-identification in the left-right political spectrum (dummy, 1 = left / 0 = other) Independent ...
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Fixed effects and first differncing questions

Let's say I am running the following regression: $y_{i,t} = \beta x_{i,t} + \lambda_t + \eta_i + \epsilon_{i,t}$ where $i$ indices individual/county/group, $t$ time, $\eta$ and $\lambda$ are group and ...
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Projection vs fixed effects

Suppose I have $n$ observation indexed by $i$ and that each observation is part of a group $g$. I want to compare two regressions. First regression: $$ Y_i=\beta X_i + \alpha F_{g(i)}+\varepsilon_i $$ ...
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fixed effects vs random effects vs random intercept model

This might sound a repetitive question but after reading many articles and posts online, I could never understand it entirely. I read somewhere that a random intercept model is a type of random effect ...
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Orthogonalization vs fixed effects in instrumental variable estimation

Suppose that I have a set of observations indexed by $i$. Each observation belongs to a group $g$. Let's define by $\hat{Z}_i=Z_i - E\left[Z_i\vert g(i)\right]$ is the residual after projecting $Z$ on ...
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R Fixed Effects Model: Breaking Independence Assumption?

I have data of countries, years and some variables as shown below (not the comeplete dataset): ...
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How can I get LSDV estimator of a two-way dynamic panel model?

I am now trying to explain a dynamic panel data model as follow: $y_{it} = \alpha y_{i,t-1} + x_{it}'\beta + \mu_i + \lambda_t + \nu_{it}$ Here I want to compute its LSDV estimator $\tilde\beta$, ...
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Average Treatment Effects Over Time

I'm testing whether people trust advice more from source A or source B. Trust in advice in a categorical variable with 4 values. Each subject answered ten questions, so I have ten observations per ...
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Is a random intercept multilevel model the same as a fixed effects model?

Let's say I have the study time and test performance of a group of students who are clustered as classes. Is using a multilevel model (student, class) the same as using a fixed-effects model, where ...
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Is a DID model appropriate?

Suppose I have 3 groups (US states). One group has always had a "treatment" throughout the time period (always had a specific legal prohibition). One group never had the "treatment"...
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Two-way fixed effects and the F-test

I have two questions regarding the reporting of scientific results. I was reading the following paper by Grinols and Mustard (2006) which can be downloaded here for free. Their main specification is a ...
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Is it possible that feglm model regression coefficients are statistically significant but its APEs coefficients are insignificant in R?

I am using R as my computation tool to run a regression analysis where I have a dependent variable as a binary outcome (0/1) and a few continuous independent variables. I want to run a feglm logit ...
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Does estimated fixed effects change if we change reference level?

Consider a fixed effect model $$y_{it}=x_{it}'\beta+\alpha_{i}+\epsilon_{it}$$ To estimate the fixed effects $\alpha_i$ we can add a dummy for each individual and run the least-squares dummy variables ...
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How to fit the correct multilevel (logistic) regression?

I want to study the link between hospital competition and mortality. The competition a hospital faces is measured by the Herfindalh-Hirschman index (HHI). So I want to know if a hospital's HHI is ...
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Panel data with country- and time-specific fixed effects

I am wondering about the estimation of the fixed effects model. In the paper Reece & Sam (2012), it is just given that the estimation is done by using the linear probability and OLS models in the ...
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What is the difference between introducing separated fixed effects (i.e. country FE + sector FE) and interacted fixed effects (i.e. country-sector FE)

Assume I have data at the country ($c$)-sector ($s$)- firm ($i$) level. I can introduce separated country and sector fixed effects, or I can introduce country-sector fixed effects, as shown in the two ...
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How can I manually predict the values of a Fixed Effects model?

Suppose I have a fixed effects model where the coefficient for x1 and x2, respectively, are 2 and 4. Now suppose I have two vectors, X1 and X2, that has test data for variables x1 and x2, respectively....
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Does it matter how often units are sampled for fixed effects models?

Suppose I am building a fixed effects models and my observations are every second. However the data does not fit into memory. If I were to aggregate the observations weekly or monthly, would that make ...
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How can we put in firm & time fixed effects in zero inflated count model in R?

I am running a zero-inflated count data model where my dependent variable is a count variable and my independent variable is a continuous variable. Since I have plenty of structural zeros in my data, ...
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Identical Coefficients for DiD with and without FE

I have a data set which includes monthly luminosity data for 3000 municipalities in Mexico. I also have one observation of several census covariates for each municipality. My data looks like this <...
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Can we use pooled ols on dynamic panel without individual fixed effect (but with group fixed effects) and no serial correlation in error

Is it correct that dynamic panel without individual fixed effect (but with group fixed effects), no serial correlation in error can be estimated consistently through pooled ols? For example, suppose ...
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Fixed effects with panel data vs including lagged variables with cross section data

I have panel data with many groups $i$ and two time periods $t$. I want to know the effect of a binary treatment $D$ on a continuous outcome $Y$. Some groups go from untreated to treated, while others ...
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Independent variable has different effect when rising vs falling

I have a panel of US counties over 10 years, and I'm looking at the relationship between the unemployment rate and an outcome variable, Y. There is strong theoretical justification that the ...
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Fixed effects versus random effects in panel data for intervention group only? Change in dependent variable for each time period

I have a panel dataset covering observations from the same individuals over six time periods (unbalance panel). I am interesting in estimating the change in a continuous dependent variable (i.e. body ...
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Cox regression for non-repeated events with panel data

I have a question with regard to the research design for a research paper I´m writing on. The data comes in the following form: ...
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Conditional logit (fixed effects logit) regression for propensity score estimation

Is using clogit problematic in estimating propensity scores (e.g., for weighted OLS regressions)? I have an individual-year panel data and a treatment that occurs every year for some of the ...
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Conditional Expectation in a Fixed Effects model

In Mostly Harmless Econometrics, pp. 222 - 223, I'm struggling to understand a derivation. Specifically, I don't know how 5.1.2 implies 5.1.3 below. Further, they claim that $$ \varepsilon_{it} \...

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