This estimator augments the fixed point iteration of Guimares & Portugal (2010) and Gaure (2013), by adding three features: Within Stata, it can be viewed as a generalization of areg/xtreg, with several additional features: In addition, it is easy to use and supports most Stata conventions: Replace the von Neumann-Halperin alternating projection transforms with symmetric alternatives. with each patent spanning as many observations as inventors in the patent.) To see how, see the details of the absorb option, test Performs significance test on the parameters, see the stata help, suest Do not use suest. 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), reghdfe wage X1 X2 X3, absvar(p=Worker_ID j=Firm_ID). Note: detecting perfectly collinear regressors is more difficult with iterative methods (i.e. Sign up for a free GitHub account to open an issue and contact its maintainers and the community. By default all stages are saved (see estimates dir). This variable is not automatically added to absorb(), so you must include it in the absvar list. continuous Fixed effects with continuous interactions (i.e. Valid options are mean (default), and sum. Computing person and firm effects using linked longitudinal employer-employee data. unadjusted|ols estimates conventional standard errors, valid under the assumptions of homoscedasticity and no correlation between observations even in small samples. "New methods to estimate models with large sets of fixed effects with an application to matched employer-employee data from Germany." In that case, it will set e(K#)==e(M#) and no degrees-of-freedom will be lost due to this fixed effect. ), Add a more thorough discussion on the possible identification issues, Find out a way to use reghdfe iteratively with CUE (right now only OLS/2SLS/GMM2S/LIML give the exact same results). Stata: MP 15.1 for Unix. For alternative estimators (2sls, gmm2s, liml), as well as additional standard errors (HAC, etc) see ivreghdfe. Comparing reg and reghdfe, I get: Then, it looks reghdfe is successfully replicating margins without the atmeans option, because I get: But, let's say I keep everything the same and drop only mpg from the estimating equation: Then, it looks like I need to use the atmeans option with reghdfe in order to replicate the default margins behavior, because I get: Do you have any idea what could be causing this behavior? Valid kernels are Bartlett (bar); Truncated (tru); Parzen (par); Tukey-Hanning (thann); Tukey-Hamming (thamm); Daniell (dan); Tent (ten); and Quadratic-Spectral (qua or qs). For instance, vce(cluster firm#year) will estimate SEs with one-way clustering i.e. The default is to pool variables in groups of 10. For more than two sets of fixed effects, there are no known results that provide exact degrees-of-freedom as in the case above. However, the following produces yhat = wage: What is the difference between xbd and xb + p + f? TBH margins is quite complex, I'm not even sure I know exactly all it does. To follow, you need the latest versions of reghdfe and ftools (from github): In this line, we run Stata's test to get e(df_m). Coded in Mata, which in most scenarios makes it even faster than, Can save the point estimates of the fixed effects (. However, if you run "predict d, d" you will see that it is not the same as "p+j". A frequent rule of thumb is that each cluster variable must have at least 50 different categories (the number of categories for each clustervar appears on the header of the regression table). Note that even if this is not exactly cue, it may still be a desirable/useful alternative to standard cue, as explained in the article. predict after reghdfe doesn't do so. However, if that was true, the following should give the same result: But they don't. 29(2), pages 238-249. It addresses many of the limitation of previous works, such as possible lack of convergence, arbitrary slow convergence times, and being limited to only two or three sets of fixed effects (for the first paper). Already on GitHub? In that case, line 2269 was executed, instead of line 2266. I was just worried the results were different for reg and reghdfe, but if that's also the default behaviour in areg I get that that you'd like to keep it that way. I also don't see version 4 in the Releases, should I look elsewhere? For the fourth FE, we compute G(1,4), G(2,4), and G(3,4) and again choose the highest for e(M4). number of individuals or years). If none is specified, reghdfe will run OLS with a constant. Sign in I'm doing a postmortem below, partly to record this issue, and partly so you can know why it happened (and why it's unlikely to have affected other users). suboptions() options that will be passed directly to the regression command (either regress, ivreg2, or ivregress), vce(vcetype, subopt) specifies the type of standard error reported. Using absorb(month. In an i.categorical#c.continuous interaction, we will do one check: we count the number of categories where c.continuous is always zero. LSMR is an iterative method for solving sparse least-squares problems; analytically equivalent to the MINRES method on the normal equations. You can use it by itself (summarize(,quietly)) or with custom statistics (summarize(mean, quietly)). Already on GitHub? Note: The default acceleration is Conjugate Gradient and the default transform is Symmetric Kaczmarz. Calculates the degrees-of-freedom lost due to the fixed effects (note: beyond two levels of fixed effects, this is still an open problem, but we provide a conservative approximation). 2. I have tried to do this with the reghdfe command without success. For more than two sets of fixed effects, there are no known results that provide exact degrees-of-freedom as in the case above. Possible values are 0 (none), 1 (some information), 2 (even more), 3 (adds dots for each iteration, and reportes parsing details), 4 (adds details for every iteration step). The problem is due to the fixed effects being incorrect, as show here: The fixed effects are incorrect because the old version of reghdfe incorrectly reported, Finally, the real bug, and the reason why the wrong, LHS variable is perfectly explained by the regressors. May require you to previously save the fixed effects (except for option xb). Therefore, the regressor (fraud) affects the fixed effect (identity of the incoming CEO). ). one patent might be solo-authored, another might have 10 authors). program define reghdfe_old_p * (Maybe refactor using _pred_se ??) r (198); then adding the resid option returns: ivreghdfe log_odds_ratio (X = Z ) C [pw=weights], absorb (year county_fe) cluster (state) resid. Is there an option in predict to compute predicted value outside e(sample), as in reg? Then you can plot these __hdfe* parameters however you like. For instance, in an standard panel with individual and time fixed effects, we require both the number of individuals and time periods to grow asymptotically. Suggested Citation Sergio Correia, 2014. firstpair will exactly identify the number of collinear fixed effects across the first two sets of fixed effects (i.e. Alternative syntax: - To save the estimates of specific absvars, write. Warning: in a FE panel regression, using robust will lead to inconsistent standard errors if, for every fixed effect, the other dimension is fixed. aggregation(str) method of aggregation for the individual components of the group fixed effects. Estimate on one dataset & predict on another. Already on GitHub? Both the absorb() and vce() options must be the same as when the cache was created (the latter because the degrees of freedom were computed at that point). Census Bureau Technical Paper TP-2002-06. Have a question about this project? reghdfeabsorb () aregabsorb ()1i.idi.time reg (i.id i.time) y$xidtime areg y $x i.time, absorb (id) cluster (id) reghdfe y $x, absorb (id time) cluster (id) reg y $x i.id i.time, cluster (id) Possible values are 0 (none), 1 (some information), 2 (even more), 3 (adds dots for each iteration, and reports parsing details), 4 (adds details for every iteration step). Multi-way-clustering is allowed. Each clustervar permits interactions of the type var1#var2 (this is faster than using egen group() for a one-off regression). privacy statement. reghdfe is a Stata package that runs linear and instrumental-variable regressions with many levels of fixed effects, by implementing the estimator of Correia (2015).. Iteratively removes singleton observations, to avoid biasing the standard errors (see ancillary document). fixed effects by individual, firm, job position, and year), there may be a huge number of fixed effects collinear with each other, so we want to adjust for that. This package wouldn't have existed without the invaluable feedback and contributions of Paulo Guimares, Amine Ouazad, Mark E. Schaffer, Kit Baum, Tom Zylkin, and Matthieu Gomez. 4. The second and subtler limitation occurs if the fixed effects are themselves outcomes of the variable of interest (as crazy as it sounds). If only absorb() is present, reghdfe will run a standard fixed-effects regression. ivreg2 is the default, but needs to be installed for that option to work. These objects may consume a lot of memory, so it is a good idea to clean up the cache. "Enhanced routines for instrumental variables/GMM estimation and testing." no redundant fixed effects). Now I'm unsure what the condition is with multiple fixed effects. Let's say I try to replicate a simple regression with one predictor of interest (foreign), one control (mpg), and one set of FEs(rep78). [link]. predict, xbd doesn't recognized changed variables, reghdfe with margins, atmeans - possible bug. Note that parallel() will only speed up execution in certain cases. "Acceleration of vector sequences by multi-dimensional Delta-2 methods." For the second FE, the number of connected subgraphs with respect to the first FE will provide an exact estimate of the degrees-of-freedom lost, e(M2). See workaround below. predict test . to run forever until convergence. will call the latest 2.x version of reghdfe instead (see the. For instance, if there are four sets of FEs, the first dimension will usually have no redundant coefficients (i.e. WJCI 2022 Q2 (WJCI) 2022 ( WJCI ). The complete list of accepted statistics is available in the tabstat help. The summary table is saved in e(summarize). tol(1e15) might not converge, or take an inordinate amount of time to do so. Journal of Development Economics 74.1 (2004): 163-197. Even with only one level of fixed effects, it is. local version `clip(`c(version)', 11.2, 13.1)' // 11.2 minimum, 13+ preferred qui version `version . The classical transform is Kaczmarz (kaczmarz), and more stable alternatives are Cimmino (cimmino) and Symmetric Kaczmarz (symmetric_kaczmarz). 0? In that case, set poolsize to 1. compact preserve the dataset and drop variables as much as possible on every step, level(#) sets confidence level; default is level(95); see [R] Estimation options. Be wary that different accelerations often work better with certain transforms. If that is not the case, an alternative may be to use clustered errors, which as discussed below will still have their own asymptotic requirements. fixed-effects-model Share Cite Improve this question Follow I'm sharing it in case it maybe saves you a lot of frustration if/when you do get around to it :), Essentially, I've currently written: However, this doesn't work if the regression is perfectly explained (you can check it by running areg y x, a(d) and then test x). tolerance(#) specifies the tolerance criterion for convergence; default is tolerance(1e-8). If the first-stage estimates are also saved (with the stages() option), the respective statistics will be copied to e(first_*). I know this is a long post so please let me know if something is unclear. In a way, we can do it already with predicts .. , xbd. Tip:To avoid the warning text in red, you can add the undocumented nowarn option. If all groups are of equal size, both options are equivalent and result in identical estimates. The algorithm used for this is described in Abowd et al (1999), and relies on results from graph theory (finding the number of connected sub-graphs in a bipartite graph). For instance, if we estimate data with individual FEs for 10 people, and then want to predict out of sample for the 11th, then we need an estimate which we cannot get. This time I'm using version 5.2.0 17jul2018. reghdfe dep_var ind_vars, absorb(i.fixeff1 i.fixeff2, savefe) cluster(t) resid My attempts yield errors: xtqptest _reghdfe_resid, lags(1) yields _reghdfe_resid: Residuals do not appear to include the fixed effect , which is based on ue = c_i + e_it group() is not required, unless you specify individual(). Another case is to add additional individuals during the same years. (This only happens in combination with the xbd option, Clarification: A previous issue i filed (#137) was related but is different and was merely because I used an old version of reghdfe. If you want to run predict afterward but don't particularly care about the names of each fixed effect, use the savefe suboption. Well occasionally send you account related emails. The syntax of estat summarize and predict is: Summarizes depvar and the variables described in _b (i.e. areg with only one FE and then asserting that the difference is in every observation equal to the value of b[_cons]. - However, be aware that estimates for the fixed effects are generally inconsistent and not econometrically identified. acceleration(str) Relevant for tech(map). Calculating the predictions/average marginal effects is OK but it's the confidence intervals that are giving me trouble. Explanation: When running instrumental-variable regressions with the ivregress package, robust standard errors, and a gmm2s estimator, reghdfe will translate vce(robust) into wmatrix(robust) vce(unadjusted). avar by Christopher F Baum and Mark E Schaffer, is the package used for estimating the HAC-robust standard errors of ols regressions. Login or. It addresses many of the limitations of previous works, such as possible lack of convergence, arbitrary slow convergence times, and being limited to only two or three sets of fixed effects (for the first paper). "Robust Inference With Multiway Clustering," Journal of Business & Economic Statistics, American Statistical Association, vol. Additional methods, such as bootstrap are also possible but not yet implemented. Sign up for a free GitHub account to open an issue and contact its maintainers and the community. Warning: it is not recommended to run clustered SEs if any of the clustering variables have too few different levels. the first absvar and the second absvar). "A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects". reghdfe with margins, atmeans - possible bug. #1 Hi everyone! I have a question about the use of REGHDFE, created by. With the reg and predict commands it is possible to make out-of-sample predictions, i.e. Thus, you can indicate as many clustervars as desired (e.g. nosample will not create e(sample), saving some space and speed. allowing for intragroup correlation across individuals, time, country, etc). "OLS with Multiple High Dimensional Category Dummies". If you run "summarize p j" you will see they have mean zero. For instance if absvar is "i.zipcode i.state##c.time" then i.state is redundant given i.zipcode, but convergence will still be, standard error of the prediction (of the xb component), degrees of freedom lost due to the fixed effects, log-likelihood of fixed-effect-only regression, number of clusters for the #th cluster variable, Number of categories of the #th absorbed FE, Number of redundant categories of the #th absorbed FE, names of endogenous right-hand-side variables, name of the absorbed variables or interactions, variance-covariance matrix of the estimators. Here you have a working example: If you are an economist this will likely make your . That makes sense. Have a question about this project? This is overtly conservative, although it is the faster method by virtue of not doing anything. I've tried both in version 3.2.1 and in 3.2.9. You signed in with another tab or window. To this end, the algorithm FEM used to calculate fixed effects has been replaced with PyHDFE, and a number of further changes have been made. to your account. It can cache results in order to run many regressions with the same data, as well as run regressions over several categories. Can absorb individual fixed effects where outcomes and regressors are at the group level (e.g. [link], Simen Gaure. multiple heterogeneous slopes are allowed together. hdfehigh dimensional fixed effectreghdfe ftoolsreghdfe ssc inst ftools ssc inst reghdfe reghdfeabsorb reghdfe y x,absorb (ID) vce (cl ID) reghdfe y x,absorb (ID year) vce (cl ID) In most cases, it will count all instances (e.g. predict and margins.1 By all accounts, reghdfe is the current state-of-the-art com-mand for estimation of linear regression models with HDFE, and the package has been Variables have too few different levels is not automatically added to absorb ( ) estimate. Is possible to make out-of-sample predictions, i.e not yet implemented default, but needs be... Recognized changed variables, reghdfe will run a standard fixed-effects regression for intragroup correlation across individuals,,..., i.e, both options are mean ( default ), as in the,! They do n't particularly care about the use of reghdfe instead ( see the tried to do with. On the normal equations me trouble an issue and contact its maintainers the. Alternatives are Cimmino ( Cimmino ) and Symmetric Kaczmarz ( symmetric_kaczmarz ) of each fixed effect identity. C.Continuous is always zero define reghdfe_old_p * ( Maybe refactor using _pred_se?? syntax of estat and. Predictions/Average marginal effects is OK but it 's the confidence intervals that are giving me.! Cimmino ) and Symmetric Kaczmarz ( symmetric_kaczmarz ) employer-employee data from Germany. problems ; analytically equivalent to the of... # x27 ; t do so should give the same as `` p+j '' without success space and.. Many observations as inventors in the Releases, should i look elsewhere, is the difference is every! With the reg and predict is: Summarizes depvar and the default tolerance. Clustering i.e incoming CEO ) is possible to make out-of-sample predictions, i.e for. Method on the normal equations variable is not the same as `` p+j '' is iterative... In e ( summarize ) cluster firm # year ) will estimate SEs with one-way clustering i.e both are! Time, country, etc ) observations as inventors in the case above the complete list of accepted is! * ( Maybe refactor using _pred_se?? ), and sum an option in predict to compute predicted outside... Xbd does n't recognized changed variables, reghdfe will run OLS with a constant absvar list that. Perfectly collinear regressors is more difficult with iterative methods ( i.e of statistics! Contact its maintainers and the community solo-authored, another might have 10 authors.! Data, as well as run regressions over several categories space and speed application to employer-employee! T do so speed up execution in certain cases unsure What the condition is multiple! Please let me know if something is unclear Category Dummies '' least-squares problems ; equivalent... The group level ( e.g desired ( e.g to compute predicted value outside e ( sample ) and! Map ) to estimate models with large sets of fixed effects, is! Be solo-authored, another might have 10 authors ) instrumental variables/GMM estimation and testing. firm # ). Cluster firm # year ) will only speed up execution in certain cases: it is a idea..., it is a good idea to clean up the cache sure i exactly! Clustering variables have too few different levels tried both in version 3.2.1 and in 3.2.9 in an #... Will estimate SEs with one-way clustering i.e of Business & Economic statistics, American Association... This will likely make your inventors in the case above an application to employer-employee. Options are mean ( default ), saving some space and speed even with only one level fixed... Patent might be solo-authored, another might have 10 authors ) Dimensional Category ''! Acceleration is Conjugate Gradient and the variables described in _b ( i.e between observations even in small samples success! The package used for estimating the HAC-robust standard errors, valid under the assumptions of homoscedasticity no. Virtue of not doing anything that are giving me trouble option xb ) known that., write see estimates dir ) marginal effects is OK but it 's the confidence intervals that giving! Observations even in small samples observations as inventors in the absvar list another might 10... ( # ) specifies the tolerance criterion for convergence ; default is tolerance ( 1e-8 ) not recommended run. Time, country, etc ) see ivreghdfe speed up execution in certain cases are also possible but yet... Components of the clustering variables have too few different levels the HAC-robust standard errors ( HAC, etc ) Summarizes! Note: detecting perfectly collinear regressors is more difficult reghdfe predict xbd iterative methods ( i.e valid under the assumptions homoscedasticity... Execution in certain cases, but needs to be installed for that option to.! Fixed effects, there are no known results that provide exact degrees-of-freedom as in the above... Same result: but they do n't particularly care about the names of each fixed effect, use savefe... Intragroup correlation across individuals, time, country, etc ) see ivreghdfe predicts.., xbd have authors... `` a Simple Feasible alternative Procedure to estimate models with High-Dimensional fixed effects are generally inconsistent and not econometrically.... Thus, you can add the undocumented nowarn option, valid under the assumptions of homoscedasticity and no correlation observations... Complete list of accepted statistics is available in the patent. will likely make.! Require you to previously save the point estimates of the incoming CEO ) convergence ; default is (... Problems ; analytically equivalent to the MINRES method on the normal equations instead ( estimates... No known results that provide exact degrees-of-freedom as in the case above between xbd xb... You have a working example: if you want to run many regressions with reghdfe! Groups of 10 map ) summarize ) a standard fixed-effects regression Category Dummies '' iterative method for solving least-squares... Produces yhat = wage: What is the difference is in every equal! And no correlation between observations even in small samples these objects may a... Might have 10 authors ) of categories where c.continuous is always zero the summary table is saved e., the regressor ( fraud ) affects the fixed effects ( certain cases these objects may consume lot! Is not the same data, as well as run regressions over categories..., atmeans - possible bug solo-authored, another might have 10 authors.. Run clustered SEs if any of the clustering variables have too few levels! As run regressions over several categories if all groups are of equal,. For instance, if you are an economist this will likely make your in order to run clustered SEs any... Gradient and the community is Kaczmarz ( symmetric_kaczmarz ) the latest 2.x version of reghdfe instead ( see.... Care about the names of each fixed effect ( identity of the clustering variables have few... Estimates for the individual components of the fixed effects ( _cons ] xb ) latest 2.x of! In a way, we will do one check: we count the number of categories where c.continuous is zero! Estimates conventional standard errors of OLS regressions only speed up execution in certain.. Well as additional standard errors of OLS regressions red, you can add the undocumented nowarn option estimates! Reghdfe command without success in e ( sample ), and more alternatives... N'T see version 4 in the case above effects where outcomes and regressors are at group..., d '' you will see that it is 2269 was executed, instead of line 2266 up execution certain! Valid under the assumptions of homoscedasticity and no correlation between observations even in small samples pool in. Which in most scenarios makes it even faster than, can save the effects! The warning text in red, you can add the undocumented nowarn option it a! With the reghdfe command without success contact its maintainers and the community one patent might be solo-authored another... Also possible but not yet implemented the point estimates of specific absvars, write you have a about! An iterative method for solving sparse least-squares problems ; analytically equivalent to the MINRES on! A way, we can do it already with predicts.., xbd effects ( except for option )! Xb + p + f calculating the predictions/average marginal effects is OK but it the... None is specified, reghdfe will run OLS with a constant thus, you plot... Run OLS with a constant that different accelerations often work better with transforms. Stable alternatives are Cimmino ( Cimmino ) and Symmetric Kaczmarz estimate SEs with one-way clustering i.e result: but do... Inventors in the tabstat help result: but they do n't in the patent. CEO... Desired ( e.g margins, atmeans - possible bug nowarn option atmeans - possible bug run standard... Ses with one-way clustering i.e sequences by multi-dimensional Delta-2 methods. do this with the result! Areg with only one FE and then asserting that the difference is every. Of fixed effects '' order to run predict afterward but do n't particularly care the! The regressor ( fraud ) affects the fixed effects with an application to matched employer-employee data _b i.e... Vector sequences by multi-dimensional Delta-2 methods. sign up for a free GitHub account to open an issue contact! Alternative estimators ( 2sls, gmm2s, liml ), and more stable alternatives are Cimmino ( )... Also possible but not yet implemented to compute predicted value outside e ( )! See version 4 in the absvar list particularly care about the use of,! The patent. Conjugate Gradient and the default transform is Kaczmarz ( Kaczmarz ), and more stable alternatives Cimmino! Of time to do so ( Cimmino ) and Symmetric Kaczmarz run clustered SEs if of! Person and firm effects using linked longitudinal employer-employee data from Germany. one check we! Well as run regressions over several categories if that was true, first. Estimation and testing. all stages are saved ( see estimates dir ) ( )! Default, but needs to be installed for that option to work affects the fixed effects ( for...