Do firm effects drift? Evidence from Washington administrative data
企业效应会漂移吗?来自华盛顿州行政数据的证据
We study the time-series properties of firm effects in the two-way fixed effects model popularized by Abowd et al. (1999) (AKM) using two approaches. The first—the rolling AKM approach (R-AKM)—estimates AKM models separately for successive two-year intervals. The second—the time-varying AKM approach (TV-AKM)—is an extension of the original AKM model that allows for unrestricted interactions of year and firm indicators. We apply to both approaches the leave-out methodology of…