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

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
Authors:	Gaure, Simen
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Limited mobility bias \| Two way fixed effects \| Linear regression

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Series:	Memorandum ; 21/2014
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	799210781 [GVK] hdl:10419/119531 [Handle]
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; c55 ; C87 - Econometric Software
Source:	EconStor

Persistent link: https://www.econbiz.de/10011335587