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2 - Linear Static Models with Additive Effects

Published online by Cambridge University Press:  19 May 2022

Cheng Hsiao
Cheng Hsiao
Affiliation:
University of Southern California
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Summary

Variable intercept linear regression through decomposing the error terms into the components of individual varying but time invariant; individual invariant but time varying; and individual-time varying component are introduced. Pros and cons of treating individual-specific and/or time-specific effects as fixed or random are discussed. Tests for fixed effects or random effects and ANOVA tests for the presence of individual or time-specifics are introduced.

Keywords

error-components modelfixed-effects or random-effects estimatorleast squares dummy variable estimatorcovariance estimatorgeneralized least squares estimatorcovariance estimatorspecification testANOVA test
Type
Chapter
Information
Analysis of Panel Data , pp. 15 - 62
Publisher: Cambridge University Press
Print publication year: 2022

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