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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Panel data regression with constant variables

I know there are good threads on this topic already but I would appreciate some more clarification. I have a panel of data of 38 countries with 8 variables for a period of 14 years, now ...
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Structural breaks in panel data

Traditionally among practitioners in my field (economics) structural breaks are usually considered problematic in time series analysis and forecasting but not as much in panel data analysis and non-...
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Combining two studies of different types

Initial Setup In a specific experimental design, there are two treatments and two study sites. Suppose we have the model \begin{align*} Y_{ijk} = \beta^\intercal X_{ijk} + \mu_i + \nu_j + \eta_{ij} + ...
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Population-Average vs Subject-Specific Interpretation in 3-Level Mixed Effects Model with Random Intercepts

Most of the population-average versus subject-specific interpretations I've come across refer to 2-level mixed-effects models, but in practice, we may encounter situations where we have to provide ...
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197 views

Linear probability model with fixed effects?

If I want to estimate a linear probability model with (region) fixed effects, is that the same as just running a fixed effects regression? Maybe I'm getting tripped up with the language and whether I ...
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What's the advantage of panel data regression over multiple individual ones?

Given a panel data (a repetitive observations over a bunch of entities) $X_{i,t}$ and $y_{i,t}$, where $X,y$ are independent and dependent variables, I am wondering which one of these two -- panel ...
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What is the difference between “including fixed effect” and “including control variables”?

In this paper Heider, Florian, and Alexander Ljungqvist. "As certain as debt and taxes: Estimating the tax sensitivity of leverage from state tax changes." Journal of financial economics 118.3 (2015):...
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Time and/or spatial fixed SDM model estimation

I am trying to make a research about determinants of local development with the SDM model. The theoretic framework, but also the empirical evidence point to the SDM model. I am doing my reserach in ...
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215 views

Difference in Differences with Multiple Time Periods and Multiple Treatment Periods

I'm working on a panel data difference in differences model where each unit (country) is observed every year. In any year, a country can be engaged in a war (treatment), a militarized interstate ...
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STATA: Year fixed effects unbalanced panel data

I am studying fund performance and trying to regress funds performance on the performance of previous funds by the same PE firm. The data I have is basically panel data, but it is highly unbalanced (...
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Is it possible to extract fixed effects from the general FGLS fixed effects model? [closed]

When I use pggls commmand for general FGLS estimators for panel data from R package plm model, ...
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regression specification on a panel data

I am trying to build a regression on this topic: Does european countries with private universities system have an impact on social inequalities? So I have a panel data for the 28 european countries ...
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How to compare effect independent variable over 2 periods?

For my thesis I examine the effect of producing renewable energy on firms in the energy sector. In this, I want to compare the effect of the independent variable Renewable Generation between period 1 (...
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How to choose between FE and BE model

I am reading the book: Baum, C. F. (2006). An Introduction to Modern Econometrics Using Stata (Stata Press, ed.). In particular Chapter 9 treats panel data and explains the Fixed Effect (FE) ...
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Different fixed effect models

I am stuck at understanding the difference between different types of fixed effect models. In particular, what is the difference between: A two way fixed effect model in the form of $$y_{it} = \...
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Difference-in-difference using tobit regression with mediation (controlling for fixed effects)

I want to conduct a mediation analysis in a difference-in-difference setting. I want to determine which element of the policy was effective. My difference-in-difference is based on a matched sample ...
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How to regress fixed effect model when sample is split in 2 periods (with interaction terms)

For my thesis I try to examine the effect when a firm generates more renewable energy on its cost of capital. In this I want to see what the difference in effects are in the period 2002-2010 and 2011-...
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Regression - Interpretation of coefficients and probability

I am very confused about the output of my regressions. First of all, I am not even sure if I could divide my sample as I did, meaning that by subsampling as I did the variable ESG score is both ...
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Creating a plot for twoway fixed effects regression on how estimator changes over time

I am running a twoways (individual and time) fixed effects within model. Is there an econometrically sensible way to plot how the within effect of the independent variable changes over time? Or ...
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Coefficient Inconsistency in Fixed Effects Models

I am estimating the effect of a policy change. The policy affected industries within states different across time. So my variation is coming from industry, state, and calendar year. When I run the ...
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How to regress variables in quantiles in a Fixed-effects model? (one large model or multiple separate ones)

For my thesis I examine whether generating renewable energy influences a company's cost of capital (beta, cost of debt & leverage). In this, I split my variables into 3 quantiles of Firm size by ...
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difference in difference fixed effect vs clustered standard error

I am trying to run a difference-in-difference regression. I have one country in the treatment group and two countries in the control group. I believe there is a need to account for fixed effects to ...
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What does it mean if a fixed effects regression gives the same coefficients as one that has no fixed effects?

I am doing a difference-in-differences analysis, looking at whether environmental regulation has an effect on exports. I added fixed effects for country and time, but on STATA it gave me the same ...
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OLS vs FE model intution

I've seen this asked a few times on here but I'm still struggling with the concept. I understand that OLS is used for basic, non-panel regression analysis. In dealing with panel data, we instead run ...
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Dynamic panel model with small N and large T

I'm working on a panel with N=4 and T=76, trying to run the following model: yt = yt-1 + Xt + controls where x is an exogenous regressor. I have two questions: 1)I detected a unit root issue in yt,...
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Interpretation of Individual Effects with Inlcusion of Year Dummies in Fixed Effects Regression for Unbalanced Panels

I work on my research in finance and I am running an unbalanced panel fixed effects regression. My dataset consists of 101 units (bonds) for which I have daily observations of their ask yield since ...
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Panel model with multi-dimensional fixed effects and rare outcomes - OLS vs. nonlinear estimators

Consider the following static panel model with two-way fixed effects: $y_{it}=β z_{it}+ δ_i+δ_t+ϵ_{it}$ I am interested in the estimate of $\beta$. In my sample, $N=600,000$, $T=100$ and $I=6,000$. ...
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Panel data model for policy intervention

Research question: I am writing a master thesis where I am analyzing the impact of a policy on the flow of investments from country A to country B. Data: I have highly(!) unbalanced panel data on ...
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Interpreting intercept in panel regression with time fixed effects at two levels (year and quarter)

I’m trying to run a panel regression (below). The main independent variable of interest is in orange, and covariates are in green: I’m trying to include fixed effects by season and by year. I have ...
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How to estimate high dimension fixed effects (HDFE) in a Tobit model?

I'm searching for a possibility to estimate a Tobit model with a high number of individual fixed effects. To be more precise, my goal is to estimate the individual determinants of the number of hours ...
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difference in effect strength / effect significance depending on number of included effects in mixed model

I am very new to mixed random effect models and am struggeling with the interpretation of the output: I set up a model with 1 random effect and 3 fixed effects (I will name these A, B and C). The ...
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which method random effects, fixed effects, or pooled OLS estimation should I use?

I'm stuck on a question since I'm confused about some of the assumptions that need to be satisfied to use these methods. The assumptions that need to be satisfied given in our lecture notes is that ...
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Fixed Effects regression with trend and seasonality?

I have monthly panel data on 8 tourist locations in the US (N=8), from 2011-2018 (T=84) and I would like to determine the impact of multiple independent variables (gas prices, income, etc) on recorded ...
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Panel data question

I am using a difference-in-difference strategy using panel data. I define my treatment group as mothers whose youngest child is less than 1 years old and my control group as mothers whose youngest ...
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Treatment group is omitted because of collinearity

I am using a difference-in-difference strategy with fixed effects -xtreg...,fe robust-. I am using as my treatment group mothers whose youngest child is younger than one. I am investigating a few ...
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Difference in intuition: threeway fixed effects vs interaction of two of the effects

my question is a follow-up on a previous question of mine: What is the difference in using, as I said in the previous link, I have the possibility of using either area $(a)$, time $(t)$ and sector $(...
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Compare country-specific effects in a time fixed effects model with company observations

I am analysing the effect of employee education (EE) on corporate financial performance (CFP) in a fixed-effects model. I have data for American and Chinese companies and I have the following equation:...
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Why significance can change from fixed time effects to both fixed time and cross sectional effects?

I am currently carrying out my master's thesis research about the impact of operational risks in the capital adequacy of european union banks. I have a dated panel OLS regression model w.r.t. banks ...
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Panel regression with fixed effects and implementation in R

I am currently working on my Master Thesis and I am trying to reproduce the panel model of Chiang (source: Chiang, C.-H. 2009. Trading Volume, Returns and Option Expiration Date. Working paper.) in ...
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Three way fixed effects vs combining two of the effects

I have panel data on employment that varies by year, sector and location and thus would like to run a fixed effects regression considering these 3 dimensions. The issue is that I use R and the ...
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Small identifying subsample when using individual specific fixed effects

What would be good questions to adress when coefficients in a panel data regression change upon adding fixed effects and the identifying subsample i rather narrow? A standard problem for fixed ...
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103 views

The difference between DID and fixed effect model

It is said that the DID (difference-in-difference) is a special case of the fixed-effect model. However, in my understanding, they solve different problems: In the case of DID, there is an unobserved ...
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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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Phenotypes adjusted by Fixed effects - How to adjust a Covariate - R

Using as an example this file: ...
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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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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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60 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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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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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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