2FixedEffectsModels：2固定效应模型.pptVIP

2. Fixed Effects Models 2.1 Basic fixed-effects model 2.2 Exploring panel data 2.3 Estimation and inference 2.4 Model specification and diagnostics 2.5 Model extensions Appendix 2A - Least squares estimation 2.1 Basic fixed effects model Basic Elements Subject i is observed on Ti occasions; i = 1, ..., n, Ti ??T, the maximal number of time periods. The response of interest is yit. The K explanatory variables are xit = {xit1, xit2, ..., xitK}′, a vector of dimension K ? 1. The population parameters are ? = (?1, ..., ?K)′, a vector of dimension K ? 1. Observables Representation of the Linear Model E yit = ? + ?1 xit1+ ? 2 xit2+ ... + ?K xitK. {xit,1, ... , xit,K} are nonstochastic variables. Var yit = σ 2. { yit } are independent random variables. { yit } are normally distributed. The observable variables are {xit,1, ... , xit,K , yit}. Think of {xit,1, ... , xit,K} as defining a strata. We take a random draw, yit , from each strata. Thus, we treat the x’s as nonstochastic We are interested in the distribution of y, conditional on the x’s. Error Representation of the Linear Model yit = ? + ?1 xit,1+ ?2 xit,2+ ... + ?K xit,K + εit where E εit = 0. {xit,1, ... , xit,K} are nonstochastic variables.. Var εit = σ 2. { εit } are independent random variables. This representation is based on the Gaussian theory of errors – it is centered on the unobservable variable εit . Here, εit are i.i.d., mean zero random variables. Heterogeneous model We now introduce a subscript on the intercept term, to account for heterogeneity. E yit = ?i + ?1 xit,1+ ?2 xit,2+ ... + ?K xit,K. For short-hand, we write this as E yit = ?i + xit′ ? Analysis of covariance model The intercept parameter, ?, varies by subject. The population parameters ? do not but control for the common effect of the covariates x. Because the errors are mean zero, the expected response is E yit = ?i + xit′ ?. Parameters of interest The common effects of the explanatory variables are dictated by the sig