Regression modelEconometrics / time series

Time-Varying Parameter Fixed Effects Model

The time-varying parameter fixed effects (TVP-FE) model extends the classical two-way fixed effects panel regression by allowing one or more slope coefficients to change over time while still controlling for unobserved individual heterogeneity. It is used when the effect of a predictor on an outcome is not constant across the time dimension of a panel dataset.

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Sources

  1. Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. ISBN: 9781107038875
  2. Pesaran, M. H., & Smith, R. (1995). Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics, 68(1), 79-113. DOI: 10.1016/0304-4076(94)01644-F

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ScholarGateTime-varying parameter fixed effects model (Time-Varying Parameter Fixed Effects Model). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/time-varying-parameter-fixed-effects-model