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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5k views

Panel regressions with an interaction term between a time dummy variable and a time invariant variable

I have estimated the coefficients of the following equation, using the fixed-effect model: $Y_{it}=\alpha _i+ \rho _t + \beta _1 X_{it}+\beta _2 C_i*D_t+\epsilon_{it}$ I have observations from 1980 ...
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756 views

Should I cluster my standard errors even when using a multilevel model?

I've been reading up on multilevel modeling, and have noticed that many sources seem to frame it as an "alternative" to using cluster-robust standard errors. My question: Are they really alternatives?...
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1k views

Average Marginal Effects from Chamberlain-Mundlak Device CRE Probit

I am trying to calculate the average marginal effects for the Chamberlain-Mundlak Correlated Random Effects probit model. The ultimate goal is to get something equivalent to the AME from the fixed ...
6
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1answer
3k views

Difference-in-difference in panel data

Under which conditions should we expect the difference-in-difference estimate to be equal to the equivalent panel data model? Strictly speaking, whenever we have a experiment that offers a well ...
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1k views

Fixed Effects vs Lagged DV vs. First Differences Regression

What are the differences between using unit fixed effects, unit fixed effects and time fixed effects, lagged DV, or first differences to analyze a time series with 4-5 time periods and 35-50 units per ...
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100 views

Is this a random or a fixed effect?

I have a question about one of the variables in my study and whether or not it should be considered a random effect. I'm conducting a study of my school's 24 general learning outcomes (or "skills".) ...
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1k views

Unbalanced panel data: Fixed effects?

I have an unbalanced panel dataset with N=10 firms and T=61 days. Because one variable had values outside the theoretical range I had to constrain my dataset, which left me with only 239 observations. ...
4
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981 views

Fitting panel data with both variable and constant coefficients using R

I'm working with panel data and want to fit a model of the form: $y_{ij} = \alpha_{i} + \beta_{1i} x_{1ij} + \beta_{2i} x_{2ij} + \beta_{3} treatment_{ij} + \epsilon_{ij}$ The data consist of (...
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890 views

Fixed-effects or mixed-effects models to population based data

There are various definitions of fixed and random effects in linear mixed-effects models in the statistics literature, and even in the fixed-effects models from econometrics. The data I have now ...
4
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3k views

Panel Data: In a fixed effects model, does auto-correlation introduce bias?

Given a panel of countries over time, a fixed effects estimator makes sense to control for country-specific effects. My intuition tells me that if the dependent variable is correlated with lags of the ...
4
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1answer
885 views

Outliers and Influential observations in fixed effects regression

I am running a fixed effects regression with a very unbalanced panel data. There are a lot of large residuals. For half of my observations, the residuals are large. However, I do not want to simply ...
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43 views

Fixed effects in linear model

I am fitting a linear model on some panel data $$y_{it} = \sigma_{cr} + x_{it}^\top\beta + \mu_i + \delta_t+ \epsilon_{it}$$ where $\mu_i$ is individual fixed effect (in the sense used in ...
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70 views

Fixed Effects: Group level variables but individual level outcomes

tl;dr: In fixed effects and first difference estimation, does having sets of individuals where the change in $X_{it}$ over time is identical lead to estimation problems? When using fixed effects (FE) ...
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550 views

What are the advantages of a random effects model versus a pooled OLS regression with cluster–robust standard errors?

Both models allow for explanatory variables that are time-invariant. I had thought that the advantage of a random effects model might be related to the fact that random effects models mitigate ...
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365 views

Is it possible to fit a quantile regression fixed effects model on a repeated measures, panel data, with a nested structure?

In the rqpd package manual it is demonstrated how to fit a fixed effects model on a repeated measures data structure. I am looking for ways to extend this to a repeated measures nested structure, i.e. ...
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568 views

How can I control for time-varying unobserved heterogeneity with panel data?

I'm just beginning to learn econometrics, and I just learned about the fixed effects estimator, and the first-difference estimator. It's quite straightforward that those techniques allow me to control ...
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609 views

Using several cross-sectional regressions (for different years) vs. a single fixed-effects panel model

I have what I think is a relatively simple question about the merits of performing a single panel regression with fixed effects as opposed to individual yearly cross-sectional regressions with the ...
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230 views

What if first differencing and individual dummy variables produce different estimates?

I am replicating a paper where the authors use first-differencing to eliminate individual fixed effects. In my replication I estimated the model (using the exact same data) using individual dummy ...
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2k views

Test fixed effects for joint significance in R

Just as in this post I'm looking to test for the joint significance of the fixed effects in a model. Unlike the post I referred to, I'm looking to test each fixed effect individually. I have used a ...
3
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283 views

Intuition behind fixed effects

Im trying to explain the intuition behind fixed effects to a group of people with no background in (formal) regression analysis. Explaining the intuition behind Diff-in-Diff estimation of the impact ...
3
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1answer
101 views

Bins and Year Fixed Effects

I am trying to understand the difference between two regression models. Before more complex models are run (ie. quantile) I split an key independent variable into bins to see if the relationship is ...
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65 views

Fixed parameter estimates of parent factors in a nested design

Summary: What is happening with parameter estimates of factors that are the 'parents' of nested factors? Data: My analysis involves testing the effect of different parameter settings for automatic ...
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573 views

Marginal effect calculation after logistic regression with panel dataset using R

I would like to perform a logit regression with a panel dataset, I know that the pglm package does the job, however, does anyone know if there is a standard package in R that allows me to calculate ...
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2k views

How to interpret results after including lags in panel data regression (fixed effects)?

I would like to ask a question about lags I've included however I believe it's better if I first give you some more insight information about my topic. My hypothesis is ''the positive sentiment ...
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240 views

Convergence problem when adjusting for the effect of a lot of centres

Let us say I would like to adjust for centre effects in the analysis of data from a multicentre clinical trial. In the fixed effects approach one simply chooses one centre as reference and includes a ...
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94 views

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 (...
2
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1answer
69 views

Clustered standard errors and time dummies in panel data

Assume a simple linear regression model, I have $i$ firms and $t=17$ periods $$Y_{it}=\alpha + \beta_2 T_2 + \beta_3 T_3 + \cdots + \beta_{16} T_{16} + \gamma_i + \varepsilon_{it}$$ In this case, $t=...
2
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83 views

Difference-in-differences model with time-fixed effects only

Assume that we have a panel data set with individuals' income (Y) over multiple years and a certain event (POST) in one year that is hypothesized to affect Y for a subgroup of these individuals (TREAT)...
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62 views

Comparison between coefficients of two fixed effects models with same sample

I have a problem. I have two models of OLS regressions with time and group fixed effects of a crosscountry paneldata analysis: $$Y_i = b_1 X_i + b_2 D_1 Z_i + b_3 D_2 Z_i\tag 1$$ and $$Y_i = b_1 ...
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349 views

Fixed effects versus first difference in panel data

In panel data model, both fixed effects model and first difference remove unobserved heterogeneity. If this is the case, when which technique is more appropriate and under what circumstances?
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31 views

Model that takes grouping factor into account is a significantly better fit, but no significant differences between groups…unusual?

I'm dealing with a dataset that comprises ~30 groups of observations. In each group, we measured independent and dependent variables a certain number of times. If I plot the relationship between ...
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66 views

Standard error implications when combining IPTW and difference-in-differences

My question is about combining Inverse Probability of Treatment Weighting (IPTW) with a difference-in-difference regression with two periods (pre and post treatment). Basically, I first computed the ...
2
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0answers
111 views

Wikipedia says that “The random effects model is a special case of the fixed effects model”. Why?

I understand that the assumption made in a fixed effects model is that there is a basic understanding of the included parameters, e.g. there is a proven theory or previous experiments have shown non-...
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62 views

“ANOVA on a non-random non-Normal sample from a Normal Population”

How can I run ANOVA or tests for statistical significance on a bi-modal sample that came from a normal population? Context: I was tasked with running an ANOVA to see if genotypes (treatments / ...
2
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1answer
64 views

Multiple regression with a factor variable in R

I'm trying to run a multiple regression on a dataset in R. The structure of the data that I want to use for the regression is as followed (only showing the variables I want to use): ...
2
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0answers
106 views

Using interactions with time variable in fixed effects modelling (PLM package R)

I'm trying to run some fixed effects models for housing stress using the PLM package in R. Based on the existing examples/documentation time variables are often used as part of the index to identify ...
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23 views

Ability of fixed-effects analyses to enable generalisation of results

Is it correct to say that, when making inferrence on the results of an experiment, using a random-effects (RFX) rather than a fixed-effects (FFX) model merely makes the results more generalisable, as ...
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0answers
97 views

Is it possible to exclude a set of variables from regularisation in a LASSO regression?

Specifically, I would like to estimate a model that includes, on the RHS: Individual and time fixed effects A set of variables that may or may not be included I would like to keep the coefficients ...
2
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0answers
539 views

Panel data, fixed effects, and interaction terms

I've a question concerning the specification of a panel regression with: unit and time fixed effects ($\alpha_i$ and $\delta_t$); interaction term between continuous variables ($x_{it}$ and $z_{it}$)....
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0answers
46 views

Why can we safely interpret the between estimates and the estimates for time invariant variables in a hybrid/correlated random effects model?

Consider the hybrid model (Alisson 2009): $ y_{ij} = \beta_W(x_{ij} - \bar{x_i}) + \beta_B\bar{x_i}+\gamma c_i +(u_i +e_{ij})$ Where $\beta_B$ is an estimate of te ‘between effect’ and ‘$\beta_W$ is ...
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389 views

Omitting exogenous variables from first stage regression 2SLS - fixed effects, lagged Y variables

I have a problem which, in its general form, has been addressed on this forum: can you omit exogenous variables from the first stage regression in a 2SLS estimation? (see: here and here). The answer ...
2
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0answers
1k views

Difference in differences with multiple time periods

I am assessing the economic impact of High-Speed Rail (HSR) between two cities using Difference-in-Differences. To do so I have a set of treated and control regions (indexed by i). I am assuming that ...
2
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1answer
563 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 ...
2
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0answers
389 views

Fixed effects vs random effects when assumption of strict exogeneity holds

I have trouble understanding the following exercise: Assume a setting in which the assumption of strict exogeneity holds, but random effects estimation and fixed effects estimation give very ...
2
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0answers
147 views

ECM with fixed effects in a long-run equation

I would like to make a simple estimate of regional GDP. Predicted values of GDP on country level are available, so I was thinking about using these values and create a simple model. Simple linear ...
2
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0answers
557 views

Quasi-fixed effects: time-invariant variables in random effects model, or something else?

I am currently studying dynamic panel data models, and a stumbled upon a phenomenon which is referred to as "Quasi fixed effects". As far as i understand, this boils down to the following idea. ...
2
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0answers
359 views

First Difference Estimator error autocorrelation

I am struggling to get the right covariance matrix for a Fixed Effects First Difference Panel data model. I guess that there might be some problem of error autocorrelation ,$cov(\varepsilon_t,\...
2
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0answers
846 views

Fixed or Random model: hausman, xtoverid, Mundlak approach all giving different answers in stata

I have panel data. When I use the Hausman test to decide on a fixed vs random model, I get an note saying that: "the rank of the differenced variance matrix (8) does not equal the number of ...
2
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1answer
863 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 ...
2
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0answers
162 views

How to predict individual coefficients and residuals with unbalanced panel data

I have a panel data with income for individuals over years, and I am interested in the income trends of individuals, and unexpected changes in income (i.e individual coefficients for income over years,...

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