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 basic question on right (best?) approach

I have panel data that is structured like the example below only with more variables. I am using R and my goal is pretty straight forward - estimate the effect of the independent variables on my ...
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65 views

Split random or fixed effects into categories

Consider a simple panel data model: $$y_{it} = \alpha_{i} + X_{it}\beta + e_{it} $$ where $\alpha_{i}$ could be either random or fixed effects. Say your data has a categorical variable $Z_{i}$ so ...
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55 views

Error structure: FE vs within-between RE

Model Setup My dataset is a country-year panel and I ran two estimations: A classical OLS model with country and year fixed effects $y_{it} = \beta x_{it} + \eta D_i + \mu D_t + u_{it}$ where $x_{...
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128 views

Trend break in panel data

I have a panel of countries (N= 30) over four decades (T= 40). I would like to test the impact of a policy by analyzing whether it led to a change in the trend in the outcome variable. Note: The ...
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566 views

Panel Data Estimation-Fixed vs First Difference Estimation

I am running a panel data regression on a set of 50 countries for a period of 25 years. I find some of my X (Independent) variable are stationary at first difference while one of the independent ...
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238 views

Fixed effects IV: exogenous covariates changing

Currently, I have 2 endogenous binary variables of interest (call these the VOIs) and 3 instrumental variables(all of which are also dummy variables), allowing me to use the overidentification test to ...
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428 views

lme with interaction: how to decide which treatment is more efficaceous? how to deal with p value column of the lme summary?

I am using an lme to check the effect of 3 types of treatment (A,B, C) on my variable, over time. I do not expect any effect of treatment A, which is a fake treatment. I have measurement over 5 ...
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80 views

Change a random effects model into a fixed effects model in *BUGS

I want to manipulate this RE model into a FE model for sensitivity analysis. The model is described here: Baseline natural history model ...
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1k views

Pooled OLS vs Random Effects difference in coefficients

My lecture slides say that a reason for why coefficients for some of the Pooled OLS model and Random Effects are different in a specific example could be because unobserved time-invariant factors are ...
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1k views

Stata: plotting the random+fixed effects of slopes after multilevel models are fit with `xtmixed`

I am fitting a linear multilevel model of the following form: Y = b0 * X0 + b1 * X1 + b2 * X2 + b3 * X3 + u b0 = e0 b3 = e3 The units in the first level are ...
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30 views

Feasibility of Interaction Term X_it*Z_t in unbalanced panel with time dummies

I have a data set on autombiles that has a time dimension, cross-sectional dimension with different levels, and multiple observations per cross-sectional unit. The dataset is quasi a panel that is ...
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258 views

Two-way model estimation

I have a model with 2-way fixed effects and panel data. $$y_{it}=\alpha_i+\delta_t+\beta X_{it}+ \theta D.$$ The coefficient of interest is $\theta$. (D is time dummy). I can estimate the model with ...
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1answer
948 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
132 views

Can fixed effects be “post-treament”?

I have located a natural experiment in a time series cross-sectional dataset, but I am unsure of whether or not to include unit-level fixed effects in my models. I have produced a toy example that ...
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247 views

Fixed effect omits non-fixed variables

I am working on a standard gravity model and am running a cross-section and panel regression which include fixed effects (country fixed effects for cross-section and country-time and country pair for ...
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30 views

Should I re-transform country dummy coefficients to be analyzed in a second stage?

I am working on panel (country-year) macroeconomic data which suffers from missing data in some of the independent variables. My sample is wide and short, around 120 countries over 10 years. In past ...
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1answer
35 views

Decomposition by covariates

I have a fixed effects regression with the following specification. $$Y_{it}=Cost_{it}+Year_t+Year_t*Cost_{it}+X_{it}+State_i+e_{it}$$ where $Y$ is a continuous outcome variable, ...
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175 views

dataset shift and adjustment in glmnet

I have two sets of data A and F; In each datasets, I have two types of data point, say, 0 and 1 and the goal is to make a classifier. One strategy is training/fitting the model, using one dataset, ...
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322 views

Presence of Heteroskedasticity, Robust Standard Errors - Stata

I have a panel of 49 observations, 7 countries, 7 years, running Panel fixed effects and IV fixed effects on Stata. I have used the modified Wald test to test for the presence of heteroskedasticity p ...
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133 views

to keep or not to keep… block effect when not significant?

The question is in the title. I could not find an answer to this common question after searching on google nor on the StackExchange website, excepted this but the provided answer is not definite ...
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1answer
196 views

Nested fixed effects in a GLMM, hypothesis testing

I am attempting a GLMM with nested fixed effects. Most examples of nesting that I see deal with random effects, but my experimental design is hierarchical by nature and I am interested in making ...
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0answers
986 views

Question about fixed-effects/time-effects model in R/plm

I have a few questions about using the plm package's models to get fixed effects and time effects. Here's a basic sketch of the code: ...
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292 views

Hausman test include or exclude time invariant variables? Favoring a random or a fixed effect model?

I analyse purchase decisions on different products j over a duration of t days. I would like to include random or fixed effects. When I run a Hausman test and include only the time variant variables, ...
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82 views

Ranking the performance of countries (entities) from a panel-based fixed effects regression

I am performing a fixed effects regression analysis on countries, $i$, over a time period $t$ with regressor $X$ and outcome $y$ so that the equation is $y = \beta_0 + \beta_1 X_{it} + \epsilon_{it}$ ...
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520 views

Panel poisson regressions on rates and values far from 0

I am estimating the effect of some treatment on yearly district-level stillbirths and stillbirth rates and births and birthrates in a panel with district and year fixed effects. Stillbirths are ...
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0answers
697 views

Pooled OLS versus Fixed Effects

I have an unbalanced panel data and I run a pooled ols and my results are fine. But when I do the diagnostics, linktest and ovtest fails. I then do Hausman to compare between ols and fixed effect. I ...
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649 views

Logistic Regression with Household Fixed Effects, SPSS

I have cross-sectional data on households and individuals for several countries. I am interested in the marginal effect of a particular dichotomous individual variable $D_i$ (dummy denoting whether ...
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421 views

Cluster Robust Standard Errors vs GMM

I want to estimate a linear model on a panel data set using fixed effects and my dependent variable has positive serial correlation. I also have to address heteroskedasticity. I have read that two-way ...
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0answers
51 views

Fixed Effect vs Random Effect Output

I am currently a statistics student taking an designing experiments class. At this point I feel I am getting a good grip on when to choose between a fixed effects, random effects, and mixed effects ...
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0answers
218 views

Feasible Multinomial Logit with large number of fixed effects

Is there a way to run something similar to a multinomial logit model with a large number of fixed effects that converges in a reasonable amount of time (I am using Stata)?
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108 views

Confidence interval for psychometric binomial GLM model on more than one subject in R

I'm trying to estimate the confidence interval of a psychometric curve (binomial probit GLM), for a population (now only two subjects). Suppose I've subject "a" and subject "b", which performs ...
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2k views

Panel data with N < T heteroscedasticity and autocorrelation. Should I include country dummies?

I have panel data of $N=18$ countries with $T=72$ months. Heteroskedasticity and autocorrelation are present in the dataset. I was working in Stata with xtreg fixed ...
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567 views

Fixed effects in panel data, correlations/coefficients don't add up

I am doing a regression on panel data for firms. The dependent variable is the Marginal revenue product of labour (RPL), i.e. labour productivity, and the independent variable is the average wage of ...
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642 views

How can I correct for residual autocorrelation in a fixed effect panel model?

The residuals have an AR(2) structure. Is it appropriate to add AR terms to a fixed-effects panel model?
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36 views

What do I do if my sample for cross sections is not random in a panel regression model?

I am trying to implement a panel regression model, but there is one issue: both fixed effects estimation (FE) and random effects estimation (RE) require that the cross section sample be random. For my ...
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457 views

Stata's -margins- shows negative predicting value for count model

I am modeling "Innovation" counts over "HHI" and "squared HHI" with fixed effect poisson model. (My sample is unbalanced, small & wide one.) I am aware of that I can use Stata's -margins- command ...
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1k views

Stata's xtlogit (fe, re) equivalent in R?

Stata allows for fixed effects and random effects specification of the logistic regression through the xtlogit fe and xtlogit re ...
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3k views

Hausman test VS Mundlak model; the choice between fixed and random effects

I am using panel data and I have to choose between fixed-effects and random-effects models. I run the Hausman test, the H0 (i.e., the difference in the coefficients from the two models is not ...
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0answers
2k views

Fixed effects in a linear probability model (LPM)

I have a dataset with about 6000 obs. in a cross sectional times series structure (countries and years). My dependent/response variable is binary and my independent/explanatory variables are a mix of ...
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0answers
2k views

Compare coefficients across groups in panel data set

I want to test for differences in (regression) coefficients across two groups. I understand, that this is possible by including interaction terms and performing a Chow-Test. But what do you do if ...
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0answers
2k views

Correcting for heteroskedasticity in Logit fixed-effects model

I found out that my panel data 'suffers' from heteroscedasticity by doing the test described on Stata FAQ, Testing for panel-level heteroskedasticity and autocorrelation. I understand that the $H_0$ ...
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0answers
137 views

A mixture of mixed-model regression and fixed-effects-only regression: what is it exactly?

I have a model with a continuous dependent variable (DV) and 9 independent variables (IVs). My model is a mixed-model, because 7 of the 9 IVs are nested within the two levels of another IV (lets call ...
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0answers
318 views

Logistic regression with random and with fixed intercept

I have made logistic regression with fixed intercept and with random intercept on the same data, and the results (the odds-ratios) are very different. Could somebody tell me what can be the reasons of ...
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2answers
210 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
5 views

Stata fixed effect model

I am using time fixed effect dummy variable for my model, and when I run the regression using i.year, stata dropped the first year (2001). Is this possible to ask stata to drop another year (2003) ...
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0answers
19 views

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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0answers
42 views

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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0answers
15 views

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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0answers
18 views

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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0answers
23 views

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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