Practical Correlation Bias Correction in Two-way Fixed Effects Linear Regression

Simen Gaure ()
Additional contact information
Simen Gaure: The Ragnar Frisch Centre for Economic Research, Oslo, Norway

No 21/2014, Memorandum from Oslo University, Department of Economics

Abstract: 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.

Keywords: Limited mobility bias; Two way fuxed effects; Linear regression (search for similar items in EconPapers)
JEL-codes: A19 C13 C33 C50 C87 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2014-08-30
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sv.uio.no/econ/english/research/unpubli ... 014/memo-21-2014.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:osloec:2014_021

Access Statistics for this paper

More papers in Memorandum from Oslo University, Department of Economics Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Mari Strønstad Øverås ().