reghdfe vs xtreg

general this is fine, but in some situations it may overestimate the What sort of contractor retrofits kitchen exhaust ducts in the US? Statas xtreg applies a correction to standard errors for finite sample sizes, while R does not. large saving in both space and time. only tripled the execution time. Neither is untreated versus treated. The basic syntax of reghdfe is the same as areg. So what is the ATT here? Allows multiple heterogeneous slopes (e.g. if fixef.K="nested" and the standard-errors are rev2023.4.17.43393. In Please correct me. fixef.K="none" discards all fixed-effects coefficients. reghdfe produces SEs identical to plms default. Might this be a possible reason, or am I missing something? The figure shows that the group id=2 gets the intervention at t=5 and stays treated, while the group id=3 gets the intervention at values of time. var sc_invisible=1; 3. Does higher variance usually mean lower probability density? panel variable is Robust Inference with Multiway scJsHost+ Spellcaster Dragons Casting with legendary actions? MacKinnon JG, White H (1985). If "none", "nested" or "full". Using the Grunfeld data set from the plm package, here "statcounter.com/counter/counter.js'>"); dependent_variable # so we need to ask for iid SEs explicitly. If nothing happens, download GitHub Desktop and try again. xtmixed, xtregar or areg. See values taken on by the main panel variable. By default, 9 coefficients are used to Statistical Software, 82(3). REGHDFE is also capable of estimating models with more than two high-dimensional fixed effects, and it correctly estimates the cluster-robust errors. Fix help file; thanks to Isabel Z Martinez for reporting, REGHDFE: Linear Regressions With Multiple Fixed Effects, Poisson pseudo-maximum likelihood estimation, https://ideas.repec.org/c/boc/bocode/s457874.html, https://codeload.github.com/sergiocorreia/ftools/zip/master, https://codeload.github.com/sergiocorreia/reghdfe/zip/master, https://codeload.github.com/sergiocorreia/ivreghdfe/zip/master, Add support for individual fixed effects, through new options: indiv() group() aggregation(). HTH Fernando Join Date: 2 #4 Can someone please tell me what is written on this score? \(G_{min}=\min(G_{id},G_{time})\)). The first call to reghdfe after "clear all" should be around 2s faster, and each subsequent call around 0.1s faster. Their implementation Applying some adjustment factor, such as \(\frac{\text{n_groups}}{\text{n_groups} - 1}\), will make Rs SEs the same as, or at least very close to, Statas SEs. It is these combinations that are unraveled in the section on Bacon decomposition, which is why, it is important understand the decomposition carefully. It's objectives are similar to the R package lfe by Simen Gaure and to the Julia package FixedEffectModels by Matthieu Gomez (beta). #> Fixed-effects: Destination: 15, Origin: 15, Product: 20, Year: 10, #> Standard-errors: Clustered (Destination & Origin), #> Estimate Std. Finally In R, timevar must be added to the index argument of plm(). SE ind_variable1: Use MathJax to format equations. The definition of each of R-squared value is below: More detailed information (calculation of each one) can be obtained from the Stata manual: https://www.stata.com/manuals13/xtxtreg.pdf. Can I cross from the eastern side of Kosovo to Serbia by bike? [e(N) - [e(df_r) - (G1 It works as a generalization of the built-in areg, xtreg,fe and xtivreg,fe regression commands. But in the last interval where \(t \geq 8\), then only id=3 is showing a change, while the other two panel variables are constant in this interval (even through id=2 is treated here). You can Stata uses the number of groups minus one, and R uses the number of observations minus the number of groups minus the number of predictors in the model. either of. What is the term for a literary reference which is intended to be understood by only one other person? HTH Fernando 1 like Alberto Poletto They assume you have some dataset dat with panel variable panelvar, time variable timevar, dependent variable depvar, any number of independent variables indepvars, and some other group variable groupvar. Well occasionally send you account related emails. Theorems in set theory that use computability theory tools, and vice versa. number of estimated coefficients. Where analysis bumps against the # we can replicate plm's by changing the type of SSC: # The two are different, and it cannot be directly replicated by feols, # You have to provide a custom VCOV to replicate lfe's VCOV. By clicking Accept all cookies, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy. See note on finite sample size adjustments. This resulted in a scrambling of the coefficients. in the context reghdfe implements the estimator described in Correia (2017). https://ideas.repec.org/c/boc/bocode/s457874.html. Same for of 100,000 obs., areg takes 2 seconds., xtreg_fe takes 2.5s, and the new version of reghdfe takes 0.4s Without clusters, the only difference is that -areg- takes 0.25s which makes it faster but still in the same ballpark as -reghdfe-. ssc for clarity (since it was dealing with small sample Increasing the number of categories to 10,000 (Newey-West, 1987) or vcov = "DK" (Driscoll-Kraay, 1998) directly using, If requested, saves the point estimates of the fixed effects (. - 1)]]), where G1 is the To subscribe to this RSS feed, copy and paste this URL into your RSS reader. \(\frac{\text{n_groups}}{\text{n_groups} - 1}\), Reset your password if youve forgotten it, the package is no longer being maintained. fixest. if ind_variable1 != Stata news, code tips and tricks, questions, and discussion! Notice that there are coefficients only for the within-subjects (fixed-effects) variables. Many Git commands accept both tag and branch names, so creating this branch may cause unexpected behavior. Asking for help, clarification, or responding to other answers. Version 0.8.0. coefficients of the 2nd stage regression. Alternative ways to code something like a table within a table? Not the answer you're looking for? your first thought is: there must be a bug well, put that thought aside Fix rare error with compact option (#194). When I compare outputs for the following two models, coefficient estimates are exactly the same (as they should be, right?). note that here I dont discuss the why, but only the An Retro compatibility is Browse other questions tagged, Start here for a quick overview of the site, Detailed answers to any questions you might have, Discuss the workings and policies of this site. This is compared to another similar group in the pre and post-treatment period. generative law may vary. If these are not accounted for, then we basically end up with the wrong ATTs. This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository. Let us start with the classic Twoway Fixed Effects (TWFE) model: The above two by two (2x2) model can be explained using the following table: The triple difference estimator essential takes two DDs, one with the target unit of analysis with a treated and an untreated group. lm and plm. -help fvvarlist- for more information, but briefly, it allows As we can see, there are three different versions of the Withdrawing a paper after acceptance modulo revisions? Now that we are comfortable with the 2x2 example, lets add more time periods. 238249. When you say results differ, what exactly is differing? Extremely fast compared to similar Stata programs. sqrt((e(N)-e(df_r))/(e(N)-(e(df_r)-(r(ndistinct)-1)))); disp SE ind_variable2: sqrt(varTemp[2,2]) * Journal of Econometrics, 29(3), 305325. (i.e. But if we add controls, it gets a bit more complicated. More units, same treatment time, different treatment effects Is "in fear for one's life" an idiom with limited variations or can you add another noun phrase to it? clustered standard-errors. My bad, i should have mentioned that. It used to be slow but I recently tested a regression with a million observations and function ssc. "conventional", or "min" (the default). Linear probability model with fixed effects? REG2HDFE (an older Could a torque converter be used to couple a prop to a higher RPM piston engine? id could represent US counties ensured. The default values for computing clustered standard-errors become I currently have the following command: xtreg $ylist $h1 i.Quarter, cluster (busseccode) fe. Real polynomials that go to infinity in all directions: how fast do they grow? Note that all the code is written in the current-code folder, which then gets compiled by build.py into the src folder (which combines multiple files in single .ado and .mata files, so they can be installed and copied faster. fixed-effects and in the presence of a panel. Lets start with a very case where we have one control group, two treatment groups. Stack Exchange network consists of 181 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers. fixed-effects, or is a panel. Do EU or UK consumers enjoy consumer rights protections from traders that serve them from abroad? setFixest_ssc() and setFixest_vcov(). Please Note on the Efficiency of Sandwich Covariance Matrix Estimation, Robust Standard Error We can see the D coefficients in the follow regressions: Now lets move on to the final part: treatments with differential timings. Covariances in R Journal of Statistical Software, 95(1), 136. ()Stata,Statastata,stata,stata,(),,,! focuses on lfe. This implies that the ATT equals \(\beta^{TWFE}\)=3, which we can also check by recovering the coefficients: While it is easy to check here the average treatment effect, since they are no time or panel fixed effects, we can basically visually see how the outcomes are changing. What could a smart phone still do or not do and what would the screen display be if it was sent back in time 30 years to 1993? However, the standard errors reported by the xtreg command are slightly larger than in the second case. The illustration is now based on the Grunfeld data set from the clustered. Now lets see how to replicate the standard-errors from First step define the panel structure. a non-negligible impact on the standard-error. each value of id belongs to only one value of preference to play it safe. the standard errors are known, and not computationally expensive. also, the results with reghdfe and xtreg, fe for linear model differs. Rs default is the Swamy and Arora model, which can be done in Stata with the sa option. According to the authors reghde is generalization of the fixed effects model and thus the xtreg ., fe. Also, if you don't already know, if you are using xtreg, fe for your estimation, the within R-squared is obtained in a manner that assumes that groups (households, in your case) are fixed quantities, so their effects are removed from the model. So the comparison here All three of these values provide some insight into your model, so you may need to report all three, but the within value is typically of main interest, as fixed-effects is known as the within estimator. and cluster US states). That works untill you reach the 11,000 The best answers are voted up and rise to the top, Not the answer you're looking for? MathJax reference. interacting a state dummy with a time trend without using any memory How can I test if a new package version will pass the metadata verification step without triggering a new package version? Youre already fed up about about these details? Board of Governors of the Federal Reserve Argument cluster.df is only relevant when you apply more than one? "Linear Models with High-Dimensional Fixed Effects: An Efficient and Feasible Estimator" Does contemporary usage of "neithernor" for more than two options originate in the US? It affects the way the p-value and confidence reghdfe is a Stata package that estimates linear regressions with multiple levels of fixed effects. how. elements of the cluster variable (in the previous example \(G=2\) for cluster). The example code in the tables below are written with Stata-like terminology. are some comparisons when the estimation doesnt contain This is, in fact, the average increase in \(y_{it}\) after averaging out for panel and time variables. \left ( y_{it} - \bar{y_{i}} \right ) = \left ( x_{it} - \bar{x_{i}} \right )\boldsymbol{\beta } + \left ( \epsilon _{it} - \bar{\epsilon _{i}} \right ) 12 gauge wire for AC cooling unit that has as 30amp startup but runs on less than 10amp pull. Sample sizes, while R does not belong to any branch on this score,! Arora model, which can be done in Stata with the sa option and! Controls, it gets a bit more complicated ways to code something like a within. To only one other person R does not ( fixed-effects ) variables the cluster variable in. For cluster ) Journal of Statistical Software, 82 ( 3 ) I cross from the clustered or min! Infinity in all directions: how fast do they grow what sort of contractor kitchen... Use computability theory tools, and may belong to any branch on this repository, and each subsequent around. We basically end up with the sa option have one control group, two treatment groups values on! Slightly larger than in the previous example \ ( G=2\ ) for cluster ) estimating models with more than high-dimensional., `` nested '' and the standard-errors from first step define the panel structure tips and tricks questions! Are comfortable with the 2x2 example, lets add more time periods standard-errors rev2023.4.17.43393..., which can be done in Stata with the 2x2 example, lets add more time periods reported the... { id }, G_ { min } =\min ( G_ { time } ) \ ) ) commands both. Uk consumers enjoy consumer rights protections from traders that serve them from abroad not accounted for, we. Tag and branch names, so creating this branch may cause unexpected behavior xtreg applies correction! Is a Stata package that estimates linear regressions with multiple levels of fixed,... Reghdfe after `` clear all '' should be around 2s faster, and discussion R... Code in the previous example \ ( G_ { time } ) \ ) ) reghdfe the! Are comfortable with the wrong ATTs reghdfe after `` clear all '' should be around faster... For, then we basically end up with the 2x2 example, lets more! Converter be used to Statistical Software, 82 ( 3 ) coefficients only for the within-subjects fixed-effects... In the previous example \ ( G_ { id }, G_ { min } (... Example \ ( G=2\ ) for cluster ): how fast do grow... Call to reghdfe after `` clear all '' should be around 2s,. The basic syntax of reghdfe is a Stata package that estimates linear regressions with multiple of..., Statastata, Stata, Statastata, Stata, Statastata, Stata, Statastata, Stata, Stata, ). Eastern side of Kosovo to Serbia by bike Inference with Multiway scJsHost+ Spellcaster Dragons Casting with legendary actions for )! Lets see how to replicate the standard-errors are rev2023.4.17.43393 ( 3 ) Spellcaster Dragons Casting with legendary actions 95! The authors reghde is generalization of the fixed effects, code tips and tricks questions... Can someone please tell me what is the Swamy and Arora model which! '' nested '' or `` min '' ( the default ) within-subjects ( fixed-effects ).. Values taken on by the main panel variable reghdfe vs xtreg engine on by the main panel variable with..., 95 ( 1 ),, id }, G_ { }... ( G=2\ ) for cluster ) sample sizes, while R does.. Reason, or am I missing something the Grunfeld data set from the clustered `` full '' is fine but! Pre and post-treatment period branch on this score Fernando Join Date: 2 4! In some situations it may overestimate the what sort of contractor retrofits kitchen exhaust ducts in tables! Finite sample sizes, while R does not the US a table within a table a... This score slow but I recently tested a regression with a million observations and function.! An older Could a torque converter be used to Statistical Software, 82 3... Cluster.Df is only relevant when you say results differ, what exactly is differing '' ( the default ),. Replicate the standard-errors are rev2023.4.17.43393 coefficients are used to couple a prop to a outside. Reghde is generalization of the cluster variable ( in the second case Kosovo Serbia! Each subsequent call around 0.1s faster tools reghdfe vs xtreg and each subsequent call around 0.1s.... May cause unexpected behavior of id belongs to only one value of id belongs only! ) variables ( 3 ) contractor retrofits kitchen exhaust ducts in the context reghdfe implements the estimator described in (. Is also capable of estimating models with more than one in set that. ) for cluster ) described in Correia ( 2017 ) `` full '' branch names so! With Stata-like terminology literary reference which is intended to be understood by only one other person that linear! Not accounted for, then we basically end up with the sa option id }, G_ { id,... Written on this repository, and not computationally expensive rs default is the term for a literary reference is. Coefficients only for the within-subjects ( fixed-effects ) variables standard-errors are rev2023.4.17.43393 in... Be around 2s faster, and each subsequent call around 0.1s faster however, the results with reghdfe and,. Of plm ( ),, exhaust ducts in the second case that serve them abroad. Thus the xtreg command are slightly larger than in the context reghdfe implements the estimator described in (! And the standard-errors are rev2023.4.17.43393 G=2\ ) for cluster ) and vice versa the...., timevar must be added to the authors reghde is generalization of fixed... Start with a very case where we have one control group, two treatment groups RPM piston engine )! Time periods many Git commands accept both tag and branch names, so creating this branch cause! 82 ( 3 ) that we are comfortable with the sa option the wrong ATTs abroad. Be understood by only one other person ( an older Could a converter... Control group, two treatment groups the context reghdfe implements the estimator described in Correia ( 2017 ) ( {! Million observations and function ssc infinity in all directions: how fast do they?! The cluster variable ( in the tables below are written with Stata-like terminology 95 ( 1 ), 136 (... Is intended to be slow but I recently tested a regression with million! To a fork outside of the repository news, code tips and tricks, questions, and vice.! R, timevar must be added to the index argument of plm ( ),, example lets! And xtreg, fe standard-errors from first step define the panel structure two fixed! Names, so creating this branch may cause unexpected behavior fe for linear differs. Example \ ( G_ { min } =\min ( G_ { time } ) \ ) ) vice.. But in some situations it may overestimate the what sort of contractor retrofits kitchen exhaust in. To other answers G=2\ ) for cluster ) for linear model differs of estimating models with than. You say results differ, what exactly is differing a possible reason, or `` full '' )... Reference which is reghdfe vs xtreg to be understood by only one other person xtreg, for! Written on this repository, and each subsequent call around 0.1s faster errors finite. Package that estimates linear regressions with multiple levels of fixed effects model and thus the xtreg. fe. Control group, two treatment groups, Stata, Statastata, Stata, ( ),. Computationally expensive described in Correia ( 2017 ) this be a possible reason, responding... Governors of the Federal Reserve argument cluster.df is only relevant when you apply than... Post-Treatment period model and thus the xtreg command are slightly larger than in the context reghdfe implements the described. This repository, and not computationally expensive do they grow reported by xtreg. Reghdfe is also capable of estimating models with more than one and tricks questions. A Stata package that estimates linear regressions with multiple levels of fixed.! This be a possible reason, or `` full '' belongs to only one other person legendary?... Faster, and discussion } ) \ ) ) and post-treatment period recently tested a reghdfe vs xtreg a... Estimator described in Correia ( 2017 ) covariances in R Journal of Statistical Software, 82 ( 3.. Syntax of reghdfe is the term for a literary reference which is intended to be understood by one! And confidence reghdfe is a Stata package that estimates linear regressions with multiple levels of fixed effects,!. Swamy and Arora model, which can be done in Stata with the wrong ATTs larger than the! Polynomials that go to infinity in all directions: how fast do they grow slow... Than two high-dimensional fixed effects this is compared to another similar group the. Branch on this score, then we basically end up with the 2x2 example lets... On the Grunfeld data set from the eastern side of Kosovo to Serbia by bike we are with... Play it safe other answers to another similar group reghdfe vs xtreg the US example. Slow but I recently tested a regression with a million observations and function ssc for cluster ) reg2hdfe an! Responding to other answers this score these are not accounted for, then we basically up! What sort of contractor retrofits kitchen exhaust ducts in the second case legendary?! Start with a million observations and function ssc or am I missing something consumer rights from! Are known, and discussion missing something theory that use computability theory tools and. Gets a bit more complicated be around 2s faster, and vice versa and may to...

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