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Aggregate Lm2 model using first-level t-stats

Open ejolly opened this issue 5 years ago • 0 comments

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 avatar Jan 24 '20 22:01 ejolly