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Quantitative Finance · Glossary

What is Panel data, fixed effects?

Also known as: panel data · fixed effects

Definition 16.11 Quantitative Methods · Chapter 16 — Linear Models under Stress

Panel data observe many units (stocks, funds, counterparties) over many periods. A fixed effects regression gives each unit (or period) its own intercept, which by the Frisch–Waugh–Lovell theorem is the same as demeaning every variable within the unit.

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