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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Subtracting fixed effect term for visualization

Suppose that I run a fixed effect model $$y_{ij}=\beta_0+\beta_1x_{ij}+d_i+\epsilon_{ij}$$ where $d_i$ is the fixed effect model for group $i$. Now that I want to show the data, is it appropriate ...
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282 views

R | Large-Sample Fixed-Effects Interaction using plm

How can I model Interactions with fixed effects for a large sample using plm? I have a panel data set with > 100,000 observations and I am trying to model a dummy-interaction with one of two fixed ...
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54 views

Proving First Difference is more efficient than OLS

I am trying to prove that the First Difference method is asymptotically more efficient than OLS when the error term follows a random walk. Assume the following model $$\begin{align}y_i&= \mathbf{...
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29 views

How can I evaluate with R the interaction between a within-subject effect and a continuous variable at the subject level?

Scenario: 62 subjects did a selection task composed of 128 items, that can be divided into four conditions, because each item has a cue and a target (also other options but thats not of interest in ...
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353 views

Comparing the regression coefficients of two time periods using unbalanced panel data and a fixed effects model

I'm currently trying to investigate how investors change their asset allocation due to liquidity risk and if their behaviour has changed since the financial crisis. My data contains the asset ...
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32 views

identical results for fixed and random network meta analysis

I performed a network meta-analysis in r package netmeta using the netmeta function and the results are identical for the fixed and random effects analyses. Is this possible or did I do something ...
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1k views

Heckman selection model for unbalanced panel data

I want to apply a heckman sample selection model (implemented for example in the R package sampleSelection, see here). However I have an unbalanced panel with ...
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60 views

using categorical variables in pre/post study

I have a continuous outcome variable, Y, that is a daily consumption score and want to study the impact of a policy change on a control group and 4 test groups t1, t2, t3 and t4. The policy change ...
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1answer
32 views

Panel with time fixed effects and a variable with high correlation across individuals

I have panel data of countries and I am estimating a Fixed Effects model similar to $$ y_{ct} = \underbrace{\theta_t}_{\text{Time FE}} + \underbrace{\theta_c}_{\text{Country FE}} + \beta^1x^1_{ct} + \...
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74 views

Fixed effects gamma estimator?

Question 18.12 in Wooldridge's Econometric Analysis of Cross Section and Panel Data describes a "fixed effects gamma estimator", which appears to be analogous to a fixed effects Poisson estimator, ...
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1answer
64 views

Is it possible to see in an equation if fixed effects are used in cross section regression?

I need to find out if multilateral resistance terms are accounted in an Gravity Equation, so Anderson and Wincoop (2003) says one method is to use Country Fixed effects. So is it possible to see in ...
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27 views

Is it necessary to convert variables into real terms when using time fixed effects?

I have a panel dataset spanning 5 years. I'm interested in the impact a independent variable has on a dependent variable whose value is measured in dollars while controlling for a variety of factors. ...
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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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28 views

Can a fixed effect model be used for making predictions?

Im new to panel data, and I am struggling to figure out if paneldata regressions can be used for making predictions outside of the sample to which it was generated. Thanks, Mathias
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397 views

Appropriate econometric model for repeated cross sectionals

This is a question about repeated cross sectional and panel data analysis. I have scoured through related questions on this site and Stack Overflow but haven’t quite found what I am looking for. Data ...
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205 views

Predicting Outcome Variable for out-of-sample Panel data R

I have data for population, income and price of cheese in 139 countries from 2007 to 2017. The objective is to find the price of bread in a new country X where I have data on the population and ...
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38 views

Alternative to DiD estimtion

I am doing a policy evaluation and wanted to do so with a Difference-in-Differences regression. There is an assumption about common trend, where the treatment group and the control group would follow ...
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1answer
69 views

Dummy Variable Control for Inflationary Time Period

Suppose I estimated a panel data model (U.S. states observed across 10 years) with a dummy variable to control for an inflationary period like 1973-1974 across all states. Is it possible to include ...
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762 views

Running a Panel Regression in R - What is the “Between” model?

I'm running regressions on an unbalanced panel dataset. I've ran panel regressions in other software, but this is my first time in R. I have a question about the "between" model in the PLM ...
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289 views

Panel data ID and time level fixed effects with propensity score matching possible?

I have about 15000 observations on long term care centers per year, for a period of 10 years. My independent variable is binary and the outcome variable is continuous. I have performed ID and year ...
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406 views

Dynamic Panel Data Model With Mulitway Fixed Effects

I am considering the following model: $$y_{it}=\rho y_{it-1}+\beta x_{it}+\delta_i+\delta_{rt}+\epsilon_{it}.\tag{1}$$ Here $y$ is an outcome variable, $x$ our variable of interest, $\delta_i$ denotes ...
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854 views

Two-ways random effects with unbalanced panel data in R

I am currently working with a panel data set in R. So far I specified a fixed effects model with two fixed effects (company/individual and time). Now I want to justify my choice by performing Hausman ...
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100 views

Comparison of coefficients in fixed effects vs. non fixed-effects regressions

I recently came across a paper that runs pairs of regressions, in which one regression includes unit fixed effects and the other regression does not include unit fixed effects. The paper then ...
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101 views

Time fixed effect dropped in regression with unit-invariant variable

I am estimating a model with country and time fixed effects (years). Among the regressors I have a country-invariant variable (dollar oil price) which is of interest. I have noticed that some year ...
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65 views

Fixed effects model with explanatory variable that is a function of a fixed effect-level observable

I have a question about the interpretation of parameters in a fixed effect specification, sorry that the context is a bit specific. In the data/working paper that I am looking at, there are a number ...
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125 views

Interpretation question: non-normality of fixed effects

In my study I am looking for individuals outperforming other individuals (panel data set). I ran a fixed effects regressions with dummies for all individuals and tested significant for individual ...
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94 views

Interpretation of interaction in presence of squared terms

I am running a fixed effects model with two independent variables, their quadratic terms, and the interaction of the two variables. IV = b0 + b1*X + b2*Y + b3*X_sq + b4*Y_sq + b5*XY How do I ...
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72 views

Picking models to explain between-group and over time variation of panel data

I have a four-period panel dataset with quite a few variables in country aggregates. I am trying to answer two questions: Firstly, I need to identify variables which do the most to explain variation ...
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161 views

Interpreting DD estimates in terms of their economic magnitude

I'm currently doing the statistical part of my final thesis and I am having troubles with correctly interpreting my regressions results. The models I am using (with the plm package in R) are pretty ...
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581 views

Can I use Fixed Effects models for a time series (not panel) dataset?

I'm working with a random effects model for a panel dataset for a number of retailers and their daily sales. Since I am trying to infer the effect of an interaction between two independent variables ...
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244 views

Robust standard errors fixed effects and first differencing

Suppose that we have an unobserved effects model: $y_{it}=\beta_0+\beta_1 x_{it}+a_i+u_{it}$ for $t=1,2$. When we have two time periods for panel data, I read that fixed effects estimation and first ...
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136 views

Should I include control variables in my model even if I am using unit- and time-fixed effects for a panel dataset?

I am assessing the relationship between a state law and a health outcome's incidence in a given state and year using multiple years of data. If I use within and between fixed effects (creating a dummy ...
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2k views

Robustness checks for Pooled OLS, Fixed Effects, and GMM

I am investigating conditional convergence across Indian states using panel data. I include the state name, year, SDP per capita, and a number of conditioning variables such as Public Expenditure, ...
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194 views

First Difference Estimator and Levels mixed up

I read a paper which used the first difference estimator in an empirical analysis and while reading, some questions arose and that is why I would like to ask you for help. At first the authors ...
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48 views

Robust fixed model

I have a question when I apply fixed and random model, then hausman test, the results show that the appropriate one is fixed model based on hausman test, then I want to check the heterocedasticity for ...
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157 views

In SAS, does the using the GLM statement ABSORB invalidate the standard errors of the parameter estimates?

SAS provides a handy tool for handling panel models with a large number of groups by 'absorbing' those groups (PROC GLM; ABSORB). My understanding is that it factors the effect of the absorbed ...
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61 views

Significant difference of nutrients among soil types with lme. Is soil depth a fixed effect?

I have a soil nutrient dataset of 60 plots from three different soil types divided per three depths. I did a one way ANOVA for every nutrient at the first depth and I got nice results in which I can ...
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104 views

Time invariant variables for banks

I'm looking to build a fixed effects or random effects model. The aim is to find the impact of non-performing loan ratio (NPLR) and capital adequacy ratio (CAR) on return on equity (ROE) for banks. ...
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573 views

Choice of fixed effects versus random effects model

I have a question about the use of fixed versus random effects models. Let us consider the following example for motivation: Suppose we are interested in the relationship between the performance of ...
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164 views

Common unit root or individual unit root

Is it acceptable to estimate panel equation with fixed effects when the common unit root is rejected, but individual unit root tests aren`t rejected ?
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45 views

Determining type of effects in a mixed effect model

I am trying to fit a nonlinear mixed effects model, and here is my train of thought. So my model (I'm thinking) should be: $Y_{ij} = f(\theta_i, t_{ij}) + \epsilon_{ij}$ where $f(\theta_i, t_{ij})$ ...
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116 views

When autocorrelation is present, but no evidence of the need of fixed effect is found, can one just use random effects or clustered std errors?

Suppose that you have a cross-sectional panel-data, in the format of country-year and estimate a given model specification m. An example in R (although the question ...
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1answer
155 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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1k views

Dummy variables, interaction terms and panel data fixed-effects model

I am interested in incorporating time-invariant variables to a fixed-effects panel data model. As we know, the coefficient corresponding to the time-invariant variable will be dropped, because of the ...
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1answer
78 views

Variables which only changes over time in fixed effects

Suppose we have a model which relates state level consumption of alcohol to state level hospital expenditures: $$ \text{Hospital expenditure}_{i,t} = \beta_1 \text{alcohol consumption}_{i,t} + \dotso ...
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1answer
218 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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365 views

How can I apply weights to the cross-sectional dimension in a fixed effect panel model?

I have a balanced panel dataset in which I have observations for N countries across T quarters. I use a fixed effect model to explore the relationship between my variables. Since all countries have ...
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28 views

Time fixed effect with a single country

pvexp.result1 <- plm(export ~ partycongress + inflation + crudepetrol + lngdp + lngrowth + lnlcratio, data=private.export, index="year", model="within", effect="time") summary(pvexp.result1) I ...
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33 views

Small panel - Deforestation

I am trying to empirically test the relationship between certain drivers of deforestation (independent variables) and deforestation in a small developing country. I have data for 4 provinces and for ...
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45 views

Bayesian Model Averaging and gamboostLSS with longitudinal data.

Im using the above methods for model selection with longitudinal data. My question is; do I have to account for fixed and random effects when performing the variable selection? If yes, are there any ...

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