Dear all, A new package, reghdfe, is now available from download from SSC. reghdfe is a Stata package that estimates linear regressions with multiple levels of fixed effects. As seen in the table below, ivreghdfe is recommended if you want to run IV/LIML/GMM2S regressions with fixed effects, or run OLS regressions with advanced standard errors (HAC, Kiefer, etc.) From: "Ada Ma" References: . It performs linear and instrumental variable regressions while absorbing for any number of fixed effects. Re: st: How do I save fixed panel effects as a variable. "REGHDFE: Stata module to perform linear or instrumental-variable regression absorbing any number of high-dimensional fixed effects," Statistical Software Components S457874, Boston College Department of Economics, revised 18 Nov 2019.Handle: RePEc:boc:bocode:s457874 Note: This module should be installed from within Stata by typing "ssc install reghdfe". Description. Follow-Ups: . Downloadable! This package integrates reghdfe into ivreg2, through an absorb() option. This allows IV/2SLS regressions with multiple levels of fixed effects. A regression with 60,000 and 25,000 catagories in two separate fixed effects took 4,900 seconds on a test dataset with 100 million observation (limited to … Comparison with other commands. The usual solution is to drop some of the dummies, but we can't do that because we are demeaning. In this presentation, I describe a novel estimator for linear models with multiple levels of fixed effects. Details and examples are included in the help file, but key features include: My main research interests are in Empirical Banking and Corporate Finance. I am an Economist at the Federal Reserve Board. Sergio Correia, 2014. reghdfe builts heavily on the packages reg2hdfe by Paulo Guimaraes and a2reg by Amine Ouazad. It's objectives are similar to the R package lfe by Simen Gaure and to the Julia package FixedEffectModels by Matthieu Gomez (beta). It's features include: I want to estimate a two-way fixed effects model such as: wage(i,t) = x(i,t)b + workers fe + firm fe + residual(i,t) I use the command to estimate the model: reghdfe wage X1 X2 X3, absvar(p=Worker_ID j=Firm_ID) I then check: predict xb, xb predict res, r gen yhat = xb + p + j + res and find that yhat ≠ wage. I have a very peculiar case of reghdfe and regress giving different results where they (according to me) should give the same. st: How do I save fixed panel effects as a variable. The areg solution is to add back the constant, but since I can have more than one set of FEs, then the question would be which of the two FEs receives the constant. An attractive alternative is -reghdfe-on SSC which is an iterative process that can deal with multiple high dimensional fixed effects. Linear, IV and GMM Regressions With Any Number of Fixed Effects - sergiocorreia/reghdfe I first show that solving the two-way fixed effects model is equivalent to solving a linear system on a graph, and exploit recent advances in graph theory (Kelner et al, 2013) to propose a nearly-linear time estimator. with the option save = true, a dataframe aligned with the initial dataframe with residuals and, if the model contains high dimensional fixed effects, fixed effects estimates (use residuals or fe on the output of reg) Methods such as predict, residuals are still defined but require to specify a … d) Calculates the degrees-of-freedom lost due to the fixed effects (note: beyond two levels of fixed effects, this is still an open … c) Can save the point estimates of the fixed effects (< i > caveat emptor : the: fixed effects may not be identified, see the references). In this case, the two sets of fixed effects are collinear. 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