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Frisch prosjekt:
Practical correlation bias correction in two-way fixed effects linear regression
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Forfattere:
Gaure, Simen
År:
2014
Referanse:
Memorandum
Nummer i serie: 21
Sammendrag (engelsk)
When doing two-way fixed effects OLS estimations, both the variances and covariance of the fixed effects are biased. A formula for a bias correction is known, but in large datasets it involves inverses of impractically large matrices. We detail how to compute the bias correction in this case.
Nøkkelord:
Limited mobility bias, Two way fixed effects, Linear regression
JEL:
: C13, C33, C55, C87
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