An algorithm to estimate the two-way fixed effects model

DOI10.1515/jem-2014-0008zbMath1345.62103OpenAlexW2325547628MaRDI QIDQ312370

Paulo Somaini, Frank A. Wolak

Publication date: 15 September 2016

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jem-2014-0008

zbMATH Keywords

panel dataGMMFrisch-Waugh-Lovell theoremOLStwo-way fixed effects

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Economic time series analysis (91B84)

Uses Software

• Stata
• A2REG
• reghdfe
• felsdvreg
• REG2HDFE

Cites Work

• OLS with multiple high dimensional category variables
• Instrumental variables regressions involving seasonal data
• Estimating multi-way error components models with unbalanced data structures.
• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Estimation of the error-components model with incomplete panels
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