An attractive alternative is -reghdfe-on SSC which is an iterative process that can deal with multiple high dimensional fixed effects. This package integrates reghdfe into ivreg2, through an absorb() option. Linear, IV and GMM Regressions With Any Number of Fixed Effects - sergiocorreia/reghdfe Sergio Correia, 2014. "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". I have a very peculiar case of reghdfe and regress giving different results where they (according to me) should give the same. 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. 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: It works as a generalization of the built-in areg, xtreg,fe and xtivreg,fe regression commands. Downloadable! c) Can save the point estimates of the fixed effects (< i > caveat emptor : the: fixed effects may not be identified, see the references). Comparison with other commands. My main research interests are in Empirical Banking and Corporate Finance. Dear all, A new package, reghdfe, is now available from download from SSC. Description. Follow-Ups: . reghdfe builts heavily on the packages reg2hdfe by Paulo Guimaraes and a2reg by Amine Ouazad. st: How do I save fixed panel effects as a variable. Details and examples are included in the help file, but key features include: reghdfe is a Stata package that estimates linear regressions with multiple levels of fixed effects. The usual solution is to drop some of the dummies, but we can't do that because we are demeaning. Re: st: How do I save fixed panel effects as a variable. In this presentation, I describe a novel estimator for linear models with multiple levels of fixed effects. I am an Economist at the Federal Reserve Board. d) Calculates the degrees-of-freedom lost due to the fixed effects (note: beyond two levels of fixed effects, this is still an open … 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"

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