An algorithm to estimate the two-way fixed effects model

DOI10.1515/JEM-2014-0008MaRDI QIDQ312370zbMATH OpenOpenAlexFDO

Authors 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 datatwo-way fixed effectsGMMFrisch-Waugh-Lovell theoremOLS

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• Econometric analysis of cross section and panel data.
• Estimating multi-way error components models with unbalanced data structures.
• Estimation of the error-components model with incomplete panels
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Instrumental variables regressions involving seasonal data
• OLS with multiple high dimensional category variables
• Seasonal Adjustment of Economic Time Series and Multiple Regression Analysis

Cited in

(3)

• Two-way fixed effects and differences-in-differences estimators with several treatments
• A two step algorithm for solving a large scale semi-definite logit model
• Computational algorithm for estimation of panel data models with two fixed effects

Describes a project that uses

Uses Software

• REG2HDFE
• felsdvreg
• reghdfe
• A2REG
• Stata

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