Scandinavian Working Papers in Economics

Oslo University, Department of Economics

No 21/2014: 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

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

JEL-codes: A19; C13; C33; C50; C87

11 pages, August 30, 2014

Full text files

memo-21-2014.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Mari Strønstad Øverås ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-02-14 10:28:56.