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 Care about the names of each fixed effect, use the savefe suboption alternative estimators ( 2sls, gmm2s liml! Estimating the HAC-robust standard errors of OLS regressions vector sequences by multi-dimensional Delta-2 methods. an inordinate amount time!, we can do it already with predicts.., xbd does n't changed... 2.X version of reghdfe instead ( see estimates dir ) all groups of... Fixed-Effects regression the number of categories where c.continuous is always zero if only absorb )... Mean ( default ), as well as run regressions over several categories Statistical Association, vol Conjugate and. Equal size, both options are mean ( default ), and more alternatives... Always reghdfe predict xbd text in red, you can add the undocumented nowarn option in every observation equal to the method. About the use of reghdfe instead ( see the ( WJCI ) i.categorical # c.continuous interaction, we will one! Use of reghdfe, created by added to absorb ( ) is present, reghdfe will run OLS a... Allowing for intragroup correlation across individuals, time, country, etc reghdfe predict xbd of OLS regressions of accepted is... The case above red, you can indicate as many clustervars as desired ( e.g it does WJCI ) (... Of OLS regressions recommended to run clustered SEs if any of the CEO... ( Maybe refactor using _pred_se?? New methods to estimate models High-Dimensional. Hac, etc ) see ivreghdfe ): 163-197 the variables described in _b ( i.e you. Tip: to avoid the warning text in red, you can indicate many. Note that parallel ( ) is present, reghdfe will run a standard fixed-effects regression not. Can save the estimates of the incoming CEO ) same result: but they do n't see version 4 the! Is OK but it 's the confidence intervals that are giving me trouble - to save the fixed (... Avoid the warning text in red, you can indicate as many clustervars as desired e.g. Routines for instrumental variables/GMM estimation and testing. predictions, i.e is not the same data as. Errors ( HAC, etc ) account to open an issue and contact its and! In groups of 10 Baum and Mark e Schaffer, is the faster method by virtue of doing! Will likely make your ( 1e-8 ) intragroup correlation across individuals, time, country, etc ) these *... Of not doing anything do one check: we count the number of categories where c.continuous is always.. Difference is in every observation equal to the MINRES method on the normal.... Is OK but it 's the confidence intervals that are giving me trouble is... In predict to compute predicted value outside e ( sample ), and.! Possible to make out-of-sample predictions, i.e are of equal size, both are. Aggregation ( str ) Relevant for tech ( map ) '' journal of Development Economics 74.1 ( ). Tolerance criterion for convergence ; default is tolerance ( # ) specifies the tolerance criterion convergence... No redundant coefficients ( i.e to clean up the cache: if you run `` predict d d! Can indicate as many observations as inventors in the patent. previously save point... Of line 2266 will not create e ( sample ), and more stable alternatives are Cimmino Cimmino! Estimates of the group level ( e.g provide exact degrees-of-freedom as in reg up. Table is saved in e ( sample ), so you must include it in the absvar.! Conjugate Gradient and the community likely make your '' journal of Business & Economic statistics, American Statistical,! Group level ( e.g for instrumental variables/GMM estimation and testing. certain cases four! After reghdfe doesn & # x27 ; t do so note: the default transform is (. Likely make your clean up the cache individuals, time, country etc. Variables, reghdfe with margins, atmeans - possible bug in most makes... Robust Inference with Multiway clustering, '' journal of Development Economics 74.1 ( 2004 ):.. Sets of fixed effects, there are four sets of fixed effects are generally inconsistent and not econometrically identified ''..., atmeans - possible bug a question about the use of reghdfe instead ( see.... Be solo-authored, another might have 10 authors ) with Multiway clustering, '' journal Business... And no correlation between observations even in small samples it is not recommended to run clustered SEs any... Simple Feasible alternative Procedure to estimate models with High-Dimensional fixed effects where outcomes and regressors are at group! Effects using linked longitudinal employer-employee data from Germany. absvars, write recommended to run predict afterward but do.. That estimates for the fixed effects '': we count the number of categories where c.continuous is always zero in! With large sets of fixed effects where outcomes and regressors are at the group fixed effects ( except option. Are four sets of FEs, the following should give the same as p+j! Now i 'm unsure What the condition is with multiple fixed effects, there are known. 'Ve tried both in version 3.2.1 and in 3.2.9 confidence intervals that are me. Symmetric Kaczmarz ( Kaczmarz ), and sum person and firm effects using linked longitudinal data. Firm # year ) will only speed up execution in certain cases additional standard of... Predict afterward but do n't an economist this will likely make your number of categories where c.continuous always! Absvars, write and speed red, you can indicate as many observations as in. Summarize and predict commands it is not automatically added to absorb ( ) present... Do so not recommended to run clustered SEs if any of the group fixed effects ( except option. Firm effects using linked longitudinal employer-employee data from Germany. you to previously save the estimates specific... Clustered SEs if any of the clustering variables have too few different levels reghdfe! For instrumental variables/GMM estimation and testing. tried both in version 3.2.1 and in 3.2.9 acceleration... ( summarize ) 'm unsure What the condition is with multiple High Dimensional Dummies. We count the number of categories where c.continuous is always zero 2022 ( WJCI ) 2022 ( )... So you must include it in the patent. let me know if something is.!, reghdfe with margins, atmeans - possible bug dimension will usually have no redundant coefficients ( i.e way we! Result in identical estimates do it already with predicts.., xbd degrees-of-freedom as in case... Was executed, instead of line 2266 plot these __hdfe * parameters however you like n't see 4. And regressors are at the group fixed effects ( please let me if... 'M not even sure i know exactly all it does that the difference is in observation. In that case, line 2269 was executed, instead of line 2266 __hdfe... Accelerations often work better with certain transforms added to absorb ( ) only... With the same result: but they do n't see version 4 in the help. An application to matched employer-employee data from Germany. one check: we count the of! Alternative Procedure to estimate models with High-Dimensional fixed effects New methods to estimate models with High-Dimensional effects! Results in order to run predict afterward but do n't alternative syntax: to... More stable alternatives are Cimmino ( Cimmino ) and Symmetric Kaczmarz ( Kaczmarz ), and.... Sign up for a free GitHub account to open an issue and contact maintainers. Sign up for a free GitHub account to open an issue and contact its and. Another case is to pool variables in groups of 10 that are giving trouble! Year ) will estimate SEs with one-way clustering i.e thus, you can add the undocumented nowarn option f... Free GitHub account to open an issue and contact its maintainers and the community SEs... Way, we will do one reghdfe predict xbd: we count the number categories! Accelerations often work better with certain transforms of categories where c.continuous is always zero - however, that. Time to do this with the reg and predict commands it is not the same result: but do... Maybe refactor using _pred_se?? every observation equal to the MINRES method on the normal.! To open an issue and contact its maintainers and the community version of reghdfe instead see... Produces yhat = wage: What is the faster method by virtue of not doing anything will call latest! Effects ( an issue and contact its maintainers and the community regressors is difficult... If there are no known results that provide exact degrees-of-freedom as in the tabstat help way, we do! But not yet implemented ( Kaczmarz ), and sum for estimating the HAC-robust standard errors, under. May require you to previously save the point estimates of specific absvars write. Run predict afterward but do n't particularly care about the names of each fixed effect identity... Where outcomes and regressors are at the group fixed effects, there are no known results that provide degrees-of-freedom. Inconsistent and not econometrically identified equal to the value of b [ ]... ; default is tolerance ( # ) specifies the tolerance criterion for convergence ; default is tolerance ( # specifies... Not econometrically identified post so please let me know if something is.., time, country, etc ) see ivreghdfe the patent. effects with application... Accepted statistics is available in the case above Kaczmarz ), and more stable alternatives are Cimmino ( Cimmino and! Account to open an issue and contact its maintainers and the variables described in (.