fixed effects

Small sample methods for cluster-robust variance estimation and hypothesis testing in fixed effects models

In panel data models and other regressions with unobserved effects, fixed effects estimation is often paired with cluster-robust variance estimation (CRVE) to account for heteroscedasticity and un-modeled dependence among the errors. Although …

Clustered standard errors and hypothesis tests in fixed effects models

I’ve recently been working with my colleague Beth Tipton on methods for cluster-robust variance estimation in the context of some common econometric models, focusing in particular on fixed effects models for panel data—or what statisticians would call “longitudinal data” or “repeated measures.