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Aggregate Lm2 model using first-level t-stats #51

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ejolly opened this issue Jan 24, 2020 · 0 comments
Open

Aggregate Lm2 model using first-level t-stats #51

ejolly opened this issue Jan 24, 2020 · 0 comments

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@ejolly
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ejolly commented Jan 24, 2020

Should add an option to use t-statistics from first-level OLS models instead of just coefficients. This has the effect if implicitly down-weighting noisy first-level estimates based on their standard-errors. However, it only makes sense if the dataset is balanced with respect to each first-level group (e.g. each individual has the same number of observations at the first level).

@ejolly ejolly added this to Roadmap Sep 8, 2023
@ejolly ejolly moved this to Short term definitely in Roadmap Sep 8, 2023
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