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An Algorithm to Estimate the Two-Way Fixed Effects Model
Frisch-Waugh-Lovell theorem GMM OLS panel data two-way fixed effects
2015/7/31
We present an algorithm to estimate the two-way fixed effect linear model. The algorithm relies on
the Frisch-Waugh-Lovell theorem and applies to ordinary least squares (OLS), two-stage least square...
HETEROSKEDASTICITY-ROBUST STANDARD ERRORS FOR FIXED EFFECTS PANEL DATA REGRESSION
White standard errors longitudinal data clustered standard errors
2014/3/18
The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for p...