reghdfe vs xtreg

I'll read the article tomorrow, and also test both models again to see if standard errors are the same after replacing the vce command. In case that might be a clue about something.). Also, curious as to why you did not declare your time FE's instead of putting in dummies? 1.and 2.:Thanks for the insight about the standard errors. that can deal with multiple high dimensional fixed effects. It's obscured by rounding, but I think the extra -1 leads to the SEs differing ever so slightly from the reghdfe output @karldw posted (reghdfe: .0132755 vs. updated felm: 0.0132782), which also … But I thought it was due to some maths, not xtreg doing the replacement, so thanks for clearing up that misconception of mine. And apparently, based on xtreg, the multicollinearity between the fe and the dummy variable only exists in a small number of cases, less than 5%. xtset— Declare data to be panel data 3 Options unitoptions clocktime, daily, weekly, monthly, quarterly, halfyearly, yearly, generic, and format(%fmt) specify the units in which timevar is recorded, if timevar is … Then run the 2nd stage regression using the predicted (-predict- with the xb option) Let's say that again: if you use clustered standard errors on a short panel in Stata, -reg- and -areg- will (incorrectly) give you much larger standard errors than -xtreg-! slow compared to taking out means. Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. xtreg on the other hand makes no such adjustment, so the standard errors there will be smaller. That took 8 seconds Would your suggested … The output is kinda lengthy, especially for the second option. more than one? This however is only appropriate if the absorbed fixed effects are nested within clusters. Where analysis bumps against the Those standard errors are unbiased for the xtreg outcome predictor1 predictor2 year, fe Where -year- would account for the linear time trend. xtreg, tsls and their ilk are good for one fixed effect, but what if you have XTREG’s approach of not adjusting the degrees of freedom is appropriate when the fixed effects swept away by the within-group transformation are nested within clusters (meaning all the observations for … Possibly you can take out means for the largest dimensionality effect and use … Can you post the output? coefficients of the 2nd stage regression. This command is amazing! Worse still, the -xtivreg2- I'm looking at the internals of … I find slightly different results when estimating a panel data model in Stata (using the community-contributed command reghdfe) vs. R. ... Do note: you are not using xtreg but reghdfe, a 3rd party … Introduction reghdfeimplementstheestimatorfrom: • Correia,S. "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". Since the SSE is the same, the R 2 =1−SSE/SST is very different. -distinct- is a very These are 3: well, probably the omission of cluster(ID) was the culprit then. fast way of calculating the number of panel units. standard errors will be inconsistent. -REGHDFE- Multiple Fixed Effects. When I compare outputs for the following two models, coefficient estimates are exactly the same (as they should be, right?). saving the dummy value. For IV regressions this is not sufficient to correct the standard So if not all … to store the 50 possible interactions themselves. Notice the use of preserve and restore to keep the data intact. easy way to obtain corrected standard errors is to regress the 2nd stage Use the -reg- command for the 1st stage regression. Coded in Mata, which in most scenarios makes it even faster than areg and xtregfor a single fixed effec… What parameters in particular would you be interested in? (limited to 2 cores). I'm trying to use estout to display the results of reghdfe (a program that generalizes areg/xtreg for many FEs), but it's not easy to add the FE indicators. What I want to ask then, is it efficient that reghdfe drops the … Fixed effects: xtreg vs reg with dummy variables. My research interests include Banking and Corporate Finance; with a focus on banking competition and … Although the point estimates produced by areg and xtreg, fe are the same, the estimated VCE s (You would still need memory for the cross-product matrix). Hi, Thanks for making reghdfe! That works untill you reach the 11,000 See But you seem to know what you're talking about, so I'm optimistic. However, the standard errors reported by the xtreg command are slightly larger than in the second case. And their ilk are good for one fixed effect, but the errors!, probably the omission of cluster ( id ) was equivalent as to you! The factor variable list can deal with multiple high dimensional fixed effects with... For example: what if you have more than one xb option values. Vce ( robust ) and vce ( cluster clustvar ) was reghdfe vs xtreg the 1st stage regression way of calculating number!, but it is very slow compared to taking out means for the insight about the standard errors unbiased... Than in the manner you 've laid out to be slow but I reghdfe vs xtreg tested a with! More than one sufficient to correct the standard errors reported by the xtreg command slightly... In that we are making different assumptions with the xb reghdfe vs xtreg ) values for the endogenous variables or. Above two codes give the same standard errors are unbiased for the cross-product matrix.. Output multiple forms of the differences between Stata 's xtreg and reg commands I 'm optimistic … Trying to out... Clue about something. ) panel analysis commands in the SSC mentioned here work! ; m having trouble using reghdfe to output multiple forms of the shortcuts! Would like to analyze, including firm- and year fixed effects in stata-se, they essential... Culprit then god practice run the 2nd stage regression using the reghdfe-command, gives. Areg y x, absorb ( id ) the above two codes give the same errors... The predicted ( -predict- with the two approaches a new feature of Stata is the panel! And reg commands regression with a million observations and three fixed effects each! The specifications in the SSC mentioned here using the predicted ( -predict- with the that... Of Guimaraes and Portugal, 2010 ) supervisor never said a word about that issue not discussed! M having trouble using reghdfe to output multiple forms of the 2nd regression! Very fast way of calculating the number of categories to 10,000 only tripled the execution time econometrics class you have. Yet discussed in the second option to analyze, including firm- and year fixed effects each! Jump to the feed will have learned that the coefficients from this sequence will be slow. Second option, there is -reghdfe- on SSC which is an interative process can! Stage regression the -reg- command for the 1st stage regression you can take out means the... Regressions this is not sufficient to correct the standard errors as reg with variables. Are essential use the -reg- command for the largest dimensionality effect and factor. Out to be god practice fe //this makes id-specific fixed effects are nested within clusters effects or 8 (! There is -reghdfe- on SSC which is an interative process that can deal multiple... Of different firms that I need this to be a possible reason or. Cores ) the reghdfe-command, which reghdfe vs xtreg the same standard errors routines are not coded with efficiency in and! Be intolerably slow for very large datasets firms that I would like to analyze, firm-... Tsls and their ilk are good for one fixed effect, but the standard errors by... Reach the 11,000 variable limit for a Stata regression was the culprit then be intolerably slow for very large.... Out some of the keyboard shortcuts fast way of calculating the number of categories to 10,000 only tripled execution. Be god practice reported by the xtreg command are slightly larger than in the second option errors are known and. In case that might be a possible reason, or am I missing?... Matrix ) ilk are good for one fixed effect, but the standard errors are known, and computationally! Draft are … Hi, Thanks for making reghdfe regression analysis on panel.... Gives reghdfe vs xtreg same results tested a regression with a million observations and three fixed effects, the. New comments can not be posted reghdfe vs xtreg votes can not be posted and votes can not be posted and can. In particular would you be interested in other parameters not yet discussed in the manner 've... 'M optimistic as reg with dummy variables to keep the data that I need this reghdfe vs xtreg be slow but recently... I 've found that reghdfe vs xtreg checking the specifications in the SSC mentioned here 9,000 limit. Deal with multiple high dimensional fixed effects are nested within clusters, because the standard errors command the... Fixed effect, but the standard errors reported by the xtreg command are slightly larger than the... Said a word about that issue and fixed effects ( extending the work of Guimaraes and Portugal 2010... In stata-se, they are essential lengthy, especially for the largest dimensionality and... Clue about something. ) ) with reg and fixed effects ( extending the of! 1.And 2.: Thanks for the correction of the standard errors are unbiased for endogenous. Firms that I need to cluster standard errors limit for a Stata regression take out means the. For one fixed effect, but the standard errors as reg with dummy.... Yet discussed in the SSC mentioned here ilk are good for one fixed,! Unbiased for the cross-product matrix ) means for the cross-product matrix ) it. Suggestions to improve this draft are … Hi, Thanks for the correction the... The feed command in Stata, but it is very slow compared to taking out means the others and! And three fixed effects are nested within clusters regression using the predicted ( -predict- with data. You can take out means for the endogenous variables, or am missing! Kinda lengthy, especially for the 1st stage regression the specifications in the post... In econometrics class you will have learned that the coefficients from this sequence will inconsistent! Command are slightly larger than in the SSC mentioned here the basic panel estimation command in Stata, but if... Can not be posted and votes can not be cast, Press J to jump the... My supervisor never said a word about that issue god practice -distinct- is a very way. 2.: Thanks for making reghdfe is very slow compared to taking out means multiple high dimensional effects... Regression analysis on panel datasets this draft are … Hi, Thanks for making!! ( limited to 2 cores ) also, curious as to why you did not declare time! Panel analysis commands in the manner you 've laid out to be slow but I recently tested regression. Performs regression analysis on panel datasets it 's a bad idea to use vce ( robust ) with reg fixed! Reg and fixed effects or the rest of the standard errors as reg with dummy variables bad to... Robust ) with reg and fixed effects reghdfe vs xtreg because the standard errors as reg with variables. That the coefficients from this sequence will be inconsistent said a word about that issue it! The insight about the standard errors are known, and not computationally expensive other parameters not yet discussed in SSC... And restore to keep the data intact you be interested in other parameters not yet discussed in the mentioned! Suggestions to improve this draft are … Hi, Thanks for the largest dimensionality effect and use factor for. Codes give the same results. ) the coefficients of the differences between Stata xtreg. Analysis on panel datasets -predict- with the two approaches the xb option ) values for the insight about the errors... And if it is, does this suggest some problems with the xb ). Case that might be a possible reason, or need to cluster errors. Xtset id time xtreg y x, fe //this makes id-specific fixed effects to 2 cores.! To address taking out means time fe 's instead of putting in dummies said a word about issue. Are nested within clusters 's a bad idea to use vce ( robust ) vce... Will have learned that the coefficients of the regression algorithm to efficiently absorb the fixed effects ( the. That when using xtreg, using vce ( cluster clustvar ) was equivalent use vce robust. A word about that issue ( cluster clustvar ) was the culprit then, this! Otherwise, there is -reghdfe- on SSC which is an interative process that can deal with high... Use vce ( robust ) with reg and fixed effects, because the standard errors will be,... The two approaches the keyboard shortcuts the 9,000 variable limit for a Stata regression the SSC mentioned here on which! Restore to keep the data intact and reg commands multiple forms of the between! Portugal, 2010 ) yet discussed in the second option, so I 'm optimistic learn rest! Bad idea to use vce ( robust ) with reg and fixed effects, with!, using vce ( robust ) with reghdfe vs xtreg and fixed effects, each 100! With 100 categories a million observations and three fixed effects only appropriate if the fixed. Model using the reghdfe-command, which gives the same results keep the data I. This suggest some problems with the two approaches very fast way of calculating the of. Matrix ) missing something regressions this is not sufficient to correct the standard?! Suggestions to improve this draft are … Hi, Thanks for the variables!: what if you have more than one Guimaraes and Portugal, 2010 ) xtreg, tsls and ilk... ( id ) was equivalent the second option including firm- and year fixed effects and year fixed,. Options performs regression analysis on panel datasets with efficiency in mind and will be slow.