I am starting to use GMM estimation of dynamic panels with fixed-effects in R, but couldn't find proper information on the differences between "two-ways" and "individual" effects. Both can be easily estimated in R, but I couldn't get the right conceptual difference. Any help or indication here will be most welcome.
In panel data context, "one-way" (or "individual") effects are individual-specific (but time-invariant) random variables.
"Two-ways" effects refer to the presence of both individual-specific and time-specific variables.
See Baltagi, B.H. (2008) Econometric Analysis of Panel Data, John Wiley & Sons, 4th edition, or any other microeconometrics textbook for additional details.