# Tag Info

Accepted

### Controlling for both time fixed effects and "entity invariant" variables

Is it okay to control for both time fixed effect and entity-invariant variables, such as GDP growth and interest rate (which are the same across firms but vary across years)? No. But let's get our ...
• 5,107

### MLE to address multicollinearity in linear regression

One major caveat: identifiability. Theorem: In presence of (exact) multicollinearity, one cannot deduce ${\boldsymbol\beta}$ from the likelihood function, as it won't be identifiable. Proof: Since \$r(...
• 856

### MLE to address multicollinearity in linear regression

OLS estimation assumes that the explanatory variables are independent in the linear regression model. That statement is false. The absense of multicolinearity is not an assumption for Ordinary Least ...
• 19.7k
Accepted

### Elastic Net Collinearity

There is no such assumption about linear regression features. This is a common misconception that I believe comes from the assumption of uncorrelated errors in the Gauss-Markov theorem and mistaking ...
• 35.6k

### Interpreting Logistic Regression Coefficients Under Collinearity

My first thought would be you came across a phenomenon called correlation bias. This means if two features are highly collinear, their weights will be underestimated in a logistic regression model ...
• 1