Practical correlation bias correction in two-way fixed effects linear regression

Simen Gaure

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.

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Year of publication:	2014 ; This version August 2014
Authors:	Gaure, Simen
Publisher:	Oslo : Dep. of Economics, Univ. of Oslo
Subject:	Limited mobility bias \| Two way fixed effects \| Linear regression \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Systematischer Fehler \| Bias \| Korrelation \| Correlation

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Extent:	Online-Ressource (9 S.)
Series:	Memorandum / Department of Economics, University of Oslo. - Oslo : Department of Economics, University of Oslo, ISSN 0809-8786, ZDB-ID 2532549-8. - Vol. 21/2014
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/119531 [Handle]
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; c55 ; C87 - Econometric Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010418197