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Correlation bias correction in two-way fixed-effects linear regression

Sammendrag

When doing two-way fixed-effects ordinary least squares 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.

Om publikasjonen

Forfattere:

Gaure, Simen

År:

2014

Tidsskrift:

Stat

Serie:

Vitenskapelige tidsskrift

Nøkkelord:

limited mobility bias; linear regression; two-way fixed effects

Prosjekt:

1172 - Social Insurance and Labor Market Inclusion in Norway

Lenke:

[DOI]