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:	2014-08-30
Authors:	Gaure, Simen
Institutions:	Økonomisk institutt, Universitetet i Oslo
Subject:	Limited mobility bias \| Two way fuxed effects \| Linear regression

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Extent:	application/pdf
Series:	Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Memorandum Number 21/2014 11 pages
Classification:	A19 - General Economics. Other ; C13 - Estimation ; C33 - Models with Panel Data ; C50 - Econometric Modeling. General ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011095061