This article shows that spurious regression results can occur for a fixed effects model with weak time series variation in the regressor and/or strong time series variation in the regression errors when the first-differenced and Within-OLS estimators are used. Asymptotic properties of these ...
within estimatorAn interaction in a fixed effects (FE) regression is usually specified by demeaning the product term. However, this strategy does not yield a genuine within estimator. Instead, an estimator is produced that reflects unit-level differences of interacted variables whose moderators vary ...
within-individualvariationtoestimatetheparameters,andthenaveragingtheestimatesover individuals.Regressionmodelsforaccomplishingthisareoftencalledfixed-effectsmodels. Fixed-effectsmodelshavebeendevelopedforavarietyofdifferentdatatypesandmodels, includinglinearmodelsforquantitativedata(Mundlak1961),logisticregressionmodelsfor cate...
.xtset groupPanel variable: group (unbalanced) .xtreg y x, feFixed-effects (within) regression Number of obs = 11 Group variable: group Number of groups = 4 R-squared: Obs per group: Within = 0.6979 min = 2 Between = 0.1716 avg = 2.8 Overall = 0.6146 max = 3 F(1,6) = 13.86 ...
> . xtreg TCOST i.gt287##c.P_O i.gt287##c.Y_TCOST10 i.gt287##c.agr_score10 i.gt287##c.enforcement10, fe > > Fixed-effects (within) regression Number of obs = 474 > Group variable: my_id Number of groups = 94 > > R-sq: within = 0.5648 Obs per group: min = 1 >...
I suspect the answer is yes. I explored this with a simulation. The coefficient and standard error are identical in the first model (the fixed effects regression) and the second model (the model with mean centered predictor and random effects). The goal is to estimate the within-"person" ...
We note that our findings are likely to be an under-estimate of the true causal effects of neighborhood violence and CP on aggression because fixed effects regression exploits only within-individual variance over time, while differences across individuals are not used in the estimates. Fig. 2 ...
Fixed Effects Models (very important stuff)
To the best of our knowledge, panel data quantile regression with grouped fixed effects has not been considered in the literature before. The only paper that goes in this direction is Su et al. (2016). While the general framework developed in this paper does include a version of quantile ...
Bugfixes:summarizeoptionwas using full sample instead of regression sample,fixeda recent bug that failed to detect when FEs were nested within clusters Mata: refactor Mata internals and add their description tohelp reghdfe_mata; clean up warning messages ...