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reghdfe

reghdfe 有效解决数据众多时加入固定效应的问题 Linear and instrumental-variable/GMM regression absorbing multiple levels of fixed effects 公卫百科


    reghdfe is a generalization of areg (and xtreg,fe, xtivreg,fe) for  multiple levels of fixed effects (including heterogeneous slopes),
    alternative estimators (2sls, gmm2s, liml), and additional robust standard  errors (multi-way clustering, HAC standard errors, etc).
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    Additional features include:

       a)  A novel and robust algorithm to efficiently absorb the fixed  effects (extending the work of Guimaraes and Portugal, 2010).
       b)  Coded in Mata, which in most scenarios makes it even faster than areg and xtreg for a single fixed effect (see benchmarks on the Github page).
       c)  Can save the point estimates of the fixed effects (caveat emptor: the fixed effects may not be identified, see the references).
       d)  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).
       e)  Iteratively removes singleton groups by default, to avoid biasing the standard errors (see ancillary document).
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安装:ssc install reghdfe
教程:http://scorreia.com/reghdfe.
作者:
Sergio Correia,  Fuqua School of Business, Duke University
sergio.correia@duke.edu


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[1].  A simple feasible procedure to fit models with high-dimensional fixed effects   http://www.stata-journal.com/article.html?article=st0212

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