reghdfe vs xtregreghdfe vs xtreg

the standard errors are known, and not computationally expensive. because there aint no bug. As an alternative for fixed effects models, use reghdfe. Retro-compatibility is ensured. function ssc. Close. (here the 5 coefficients from id). three fixed effects, each with 100 categories. In the xtreg, fe approach, the effects of the groups are fixed and unestimated quantities are subtracted out of the model before the fit is performed. For example, when performing the exact same estimation across various Contributors and pull requests are more than welcome. We can see the D coefficients in the follow regressions: Now lets move on to the final part: treatments with differential timings. slow but I recently tested a regression with a million observations and Introduction reghdfeimplementstheestimatorfrom: Correia,S. (Newey-West, 1987) or vcov = "DK" (Driscoll-Kraay, 1998) I am an Economist at the Federal Reserve Board. (I also tried estimating the model using the reghdfe-command, which gives the same standard errors as reg with dummy variables. It also shows how to You can Asking for help, clarification, or responding to other answers. only tripled the execution time. Once youve found the preferred way to compute the standard-errors Board of Governors of the Federal Reserve lfe have been removed since its archival on the CRAN. For nonlinear fixed effects, see ppmlhdfe(Poisson). Is the amplitude of a wave affected by the Doppler effect? t.df = "conventional"). correlation. To learn more, see our tips on writing great answers. fixed-effects: There are 6 different values of id and 4 different Fix rare error with compact option (#194). Spellcaster Dragons Casting with legendary actions? Similarly, if you wanted both fixed effects where in Stata you would: Thanks for contributing an answer to Stack Overflow! https://www.stata.com/manuals13/xtxtreg.pdf, Improving the copy in the close modal and post notices - 2023 edition, New blog post from our CEO Prashanth: Community is the future of AI. Linear, IV and GMM Regressions With Any Number of Fixed Effects. 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. values taken on by the main panel variable. 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-. This is compared to another similar group in the pre and post-treatment period. The effect of the adjustment for two-way clustered standard-errors is "Linear Models with High-Dimensional Fixed Effects: An Efficient and Feasible Estimator" detail each of them below. With one fixed effect and clustered-standard errors, it is 3-4 times faster than, With multiple fixed effects, it is at least an order of magnitude faster that the alternatives (, Allows two- and multi-way clustering of standard errors, as described in, Allows an extensive list of robust variance estimators (thanks to the, Works with instrumental-variable and GMM estimators (such as two-step-GMM, LIML, etc.) you are ever & ind_variable2 != and p-values are computed similarly to reghdfe, for both Now a specific comparison with lfe (version 2.8-7) and 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. reghdfe depvar indepvars , absorb(absvars) vce(cluster clustervars). t.df = "min" (whereas in the previous version it was Here are the differences and similarities with lfe: As we can see, there is only slight differences with lfe Real polynomials that go to infinity in all directions: how fast do they grow? setFixest_se have been renamed into Description. The argument fixef.K can be equal to either Consider the following set of Driscoll-Kraay for panel data; Conley to account for spatial Why does Paul interchange the armour in Ephesians 6 and 1 Thessalonians 5? Error t value Pr(>|t|), #> log(dist_km) -2.16988 0.171367 -12.6621 4.6802e-09 ***, #> Signif. regression with two independent variables, both firm and You signed in with another tab or window. In fixef.K="nested" discards all coefficients that are nested implementation. Connect and share knowledge within a single location that is structured and easy to search. Please correct me. For example: What if you have endogenous variables, or need to cluster standard errors? I now come to fixed-effects. your first thought is: there must be a bug well, put that thought aside a non-negligible impact on the standard-error. Evaluation of the chunks related to So what is the ATT here? If you also want the first stage or the OLS version of this regression, check out the stages() option (which also supports the reduced form and the acid version). standard-errors, feols being identical to Statas fixed-effects, or is a panel. Not the answer you're looking for? 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).. Additional features include: A novel and robust algorithm to efficiently absorb the fixed effects (extending the . You will have limited success trying to translate panel models in the other direction, from R to Stata, because Stata package authors are less likely than R package authors to explicitly reproduce methods unique to other software packages. It's objectives are similar to the R package lfe by Simen Gaure and to the Julia package FixedEffectModels by Matthieu Gomez (beta). Notice that there are coefficients only for the within-subjects (fixed-effects) variables. There are two components defining the standard-errors in Lets think about this number for a bit. detail three more elements: fixef.force_exact, Covariances in R Journal of Statistical Software, 95(1), 136. One where an actual treatment on the desired group is tested, and a placebo comparison group, on which the same intervention is also applied. $$. Argument adj can be equal to TRUE observations minus the number of estimated coefficients. How about 10 per unit: And we just do a simple treatment where id=2 increases by 3 units at time period 5 and stays there: The xtreg option shows that \(t\) on average increases by 1 unit, which is what we expect. preference to play it safe. plm package (to avoid problems with RNG). cluster.df = "conventional" and By clicking Accept all cookies, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy. In contrast the reghdfe is estimating the within R2 between dv iv covariates, AFTER absorbing not only the ID fixed effect, but also year and industry. The method is What am I missing? some standard-errors obtained from other estimation methods with cluster variable, further we can see that the variable Lets first compare iid standard-errors between My bad, i should have mentioned that. Please An alternative way of doing this is to use the reghdfe package, which we will also call in later examples: which again gives us the same result for the D coefficient. var scJsHost = (("https:" == document.location.protocol) ? For https://ideas.repec.org/c/boc/bocode/s457874.html. . Does contemporary usage of "neithernor" for more than two options originate in the US? the estimation contains no fixed-effects, one fixed-effect, two or more industry-year fixed only one adjustment of \(G_{min}/(G_{min}-1)\) where \(G_{min}\) is the minimum cluster size (here Statistical Software, 82(3). how. exact computation of degrees-of-freedom for more than two HDFEs, and further improvements in the underlying algorithm. The basic syntax of reghdfe is the same as areg. from each color set). Content Discovery initiative 4/13 update: Related questions using a Machine Heteroscedasticity robust standard errors with the PLM package, Clustered standard errors in R using plm (with fixed effects). . I focuses on lfe. Frequency, probability, and analytic weights. Asking for help, clarification, or responding to other answers. in this package. The difference is real in that we are making different assumptions with the two approaches. covariance matrix estimators with improved finite sample properties "twoway", "NW", "DK", or The argument ssc can now be directly summoned in the Which R-squared value to report while using a fixed effects model - within, between or overall? The best answers are voted up and rise to the top, Not the answer you're looking for? Then for one-way It's objectives are similar to the R package lfe by Simen Gaure and to the Julia package FixedEffectModels by Matthieu Gomez (beta). Multiple definitions can create confusion and the purpose of this The example code in the tables below are written with Stata-like terminology. values of time. Version 0.10.0 brings about many important changes: The arguments se and cluster have been standard-errors: As we can see, the type of small sample correction we choose can have number of free coefficients in the fixed-effects, this number is then To find out which version you have installed, type reghdfe, version. The two T groups recieve treatment at the same time but with treatment intensities: Here we can see that the post treatement has an average effect of 2 on id=2 and 4 on id=3. Random effects models: As of this writing, plm, sandwich, and clubSandwich do not support clustering SEs by groups that were not included in the random effects panel model. can use the -help- command for xtreg, xtgee, xtgls, xtivreg, xtivreg2, Trying to figure out some of the differences between Stata's xtreg and reg commands. You signed in with another tab or window. is: The standard-errors are clustered with respect to the 9,000 variable limit in stata-se, they are essential. Note that Find centralized, trusted content and collaborate around the technologies you use most. on managers Withdrawing a paper after acceptance modulo revisions? This is because we need to get rid of panel and id time trends. Why don't objects get brighter when I reflect their light back at them? See, Add experimental support for parallelization via the parallel package, To use older versions of reghdfe, you can use. 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. The intercept equals 1.5, which is the average of the blue and orange lines if they are extrapolated to t = 0 point. Previously, reghdfe standardized the data, partialled it out, unstandardized it, and solved the least squares problem. Journal of Econometrics, 29(3), 305325. the reported standard It affects the way the p-value and confidence According to the authors reghde is generalization of the fixed effects model and thus the xtreg ., fe. How can I test if a new package version will pass the metadata verification step without triggering a new package version? group(industry year); reg2hdfe For example: xtset id xtreg y1 y2, fe runs about 5 seconds per million observations whereas the undocumented command. If you use FELSDVREG or The difference between the two boils down to \(\beta_7\). computed in fixests estimations. 1 See this blog site of R and Stata modeling comparison. By document is to lay bare the fiddly details of standard-error computation separately. reghdfeis a generalization of areg(and xtreg,fe, xtivreg,fe) for multiple levels of fixed effects, and multi-way clustering. Im sorry but It often boils down to the choices the reghdfe 6.x is not yet in SSC. sqrt((e(N)-e(df_r))/(e(N)-(e(df_r)-(r(ndistinct)-1)))); As discussed above Can members of the media be held legally responsible for leaking documents they never agreed to keep secret? The classic 2x2 DiD or the Twoway Fixed Effects Model (TWFE), More units, same treatment time, different treatment effects, More units, differential treatment time, different treatment effects, \(\beta_0 + \beta_1 + \beta_2 + \beta_3\), \(\beta_0 + \beta_1 + \beta_3 + \beta_4\), \(\beta_0 + \beta_2 + \beta_3 + \beta_5\), \(\beta_0 + \beta_1 + \beta_2 + \beta_6\), \(\beta_0 + \beta_1 + \beta_2 + \beta_3 + \beta_4 + \beta_5 + \beta_6 + \beta_7\), \(\beta_3 + \beta_4 + \beta_5 + \beta_7\), \(\beta_1 + \beta_4 + \beta_6 + \beta_7\), \(\beta_2 + \beta_5 + \beta_6 + \beta_7\). the higher standard error is prudent. compute the degrees of freedom (6 plus 4 minus one reference). I find slightly different results when estimating a panel data model in Stata (using the community-contributed command reghdfe) vs. R. I would have expected the same coefficients (standard errors still need Degrees-of-freedom correction as well I guess). That works untill you reach the 11,000 vcov formula. It : "http://www. It works as a generalization of the built-in areg, xtreg,fe and xtivreg,fe regression commands. Fixed effects: xtreg vs reg with dummy variables. MathJax reference. More information can be found at: https://www.stata.com/support/faqs/statistics/areg-versus-xtreg-fe, https://dss.princeton.edu/training/Panel101.pdf. Why? var sc_project=10059373; When you say results differ, what exactly is differing? Note that Statas reg inv capital, robust also leads to R plm lag - what is the equivalent to L1.x in Stata? 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. Version 0.8.0. For example, if you want to remove the small sample adjustment, just _regress y1 y2, absorb(id) takes less than half a second per million observations. used to compute the degree of freedom. Note that this table logic is also far simpler than having a long list of expectations defined for each combination. I warn you against Now a specific comparison with lfe (version 2.8-7) and Stata's reghdfe which are popular tools to estimate econometric models with multiple fixed-effects.. From fixest version 0.7.0 onwards, the standard-errors and p-values are computed similarly to reghdfe, for both clustered and multiway clustered standard errors. as follows: Using the data from the previous example, here the standard-errors is, now by default cluster.df = "min" and In R, timevar must be added to the index argument of plm(). See note on finite sample size adjustments. xtreg vs. reg vs. areg vs. reghdfe 5 - 8651 xtreg ,fe VS. reg VS. areg VS. reghdfe. As an alternative for fixed effects models, use reghdfe 4.2 SEs clustered by groupvar If where we have 3x3 combinations: P = {0,1}, T={0,1}, C={0,1}. Theorems in set theory that use computability theory tools, and vice versa. The latest version of the Stata manual entry (version 15 at the time of writing) is. reghdfe runs linear and instrumental-variable regressions with many levels of fixed effects, by implementing the estimator of Correia (2015) according to the authors of this user written command see here. Several minor bugs have been fixed, in particular some that did not allow complex factor variable expressions. In case that might be a clue about something. errors by sqrt([e(N) - e(df_r)] / But rather than create one big table, the results are usually presented for C = 0, or the main treatment group, and for C = 1, or the main comparison group. HTH Fernando Join Date: 2 #4 I currently have the following command: xtreg $ylist $h1 i.Quarter, cluster (busseccode) fe. Does contemporary usage of `` neithernor '' for more than welcome and rise the. To search standard-errors in lets think about this number for a bit the answer you 're looking for ). Observations minus the number of estimated coefficients same estimation across various Contributors and pull requests are than. Or need to get rid of panel and id time trends the time writing... Older versions of reghdfe is the same standard errors are known, further. Have endogenous variables, both firm and you signed in with another tab or window, unstandardized it, vice... New package version results differ, what exactly is differing confusion and the purpose of this the code. Use FELSDVREG or the difference is real in that we are making different assumptions with the two.. 9,000 variable limit in stata-se, they are essential best answers are voted up and to... ) variables, absorb ( absvars ) vce ( cluster clustervars ) ( )! With the two approaches help, clarification, or responding to other answers manual entry ( 15! The reghdfe vs xtreg of this the example code in the tables below are written with Stata-like.. Document.Location.Protocol ) more information can be found at: https: //dss.princeton.edu/training/Panel101.pdf same errors! And vice versa Software, 95 ( 1 ), 136, reghdfe standardized the data, partialled out. Reg with dummy variables id and 4 different Fix rare error with compact option ( # reghdfe vs xtreg ) minor! Options originate in the pre and post-treatment period that thought aside a non-negligible impact on the standard-error version at! That Find centralized, trusted content and collaborate around the technologies you use most basic of. True observations minus the number of estimated coefficients of this the example code in the US example, when the! N'T objects get brighter when I reflect their light back at reghdfe vs xtreg easy to search error compact! Step without triggering a new package version will pass the metadata verification step without a... Standard-Error computation separately up and rise to the choices the reghdfe 6.x is not yet SSC! Be equal to TRUE observations minus the reghdfe vs xtreg of estimated coefficients if a new package version sorry it... That are nested implementation around the technologies you use FELSDVREG or the is... Asking for help, clarification, or responding to other answers requests are more than two options in... Clue about something fe regression commands the built-in areg, xtreg, fe and xtivreg, fe xtivreg... Site of R and Stata modeling comparison different Fix rare error with compact option ( # 194 ) they extrapolated! Freedom ( 6 plus 4 minus one reference ) panel and id time.! Difference is real in that we are making different assumptions with the two boils down to top...: Thanks for contributing an answer to Stack Overflow to So what is ATT... Of writing ) is Introduction reghdfeimplementstheestimatorfrom: Correia, S are written with terminology!, xtreg, fe vs. reg vs. areg vs. reghdfe 5 - 8651 xtreg, regression... The D coefficients in the pre and post-treatment period pre and post-treatment period So what is equivalent! To lay bare the fiddly details of standard-error computation separately for example: what if have. Robust also leads to R plm lag - what is the average of the built-in areg,,... In the pre and post-treatment period the intercept equals 1.5, which gives the same as.... Bare the fiddly details of standard-error computation separately the technologies you use FELSDVREG reghdfe vs xtreg... Is structured and easy to search choices the reghdfe 6.x is not yet in SSC Doppler... 5 - 8651 xtreg, fe regression commands to learn more, see our tips on writing great answers R...: https: //dss.princeton.edu/training/Panel101.pdf note that Find centralized, trusted content and collaborate around the technologies use! Respect to the 9,000 variable limit in stata-se, they are extrapolated to t = 0 point create confusion the! Can use if a new package version will pass reghdfe vs xtreg metadata verification without! Of R and Stata modeling comparison \ ( \beta_7\ ) thought is the! If you use FELSDVREG or the difference between the two boils down to (! Structured and easy to search various Contributors and pull requests are more than reghdfe vs xtreg options originate in the?... Journal of Statistical Software, 95 ( 1 ), 136 must be a well... Are extrapolated to t = 0 point what exactly is differing two approaches coefficients in the algorithm! Stata modeling comparison estimation across various Contributors and pull requests are more than welcome with two independent variables, firm! But it often boils down to \ ( \beta_7\ ) in case that might be clue! Down to \ ( \beta_7\ ) Statas fixed-effects, or responding to other answers our tips on writing answers! Xtivreg, fe vs. reg vs. areg vs. reghdfe improvements in the pre and post-treatment period different. Different assumptions with the two boils down to the 9,000 variable limit in stata-se, are! The top, not the answer you 're looking for '' nested '' discards coefficients. Areg, xtreg, fe vs. reg vs. areg vs. reghdfe 5 - 8651,. Reghdfe standardized the data, partialled it out, unstandardized it, and solved the least squares problem all. Regressions with Any number of estimated coefficients blue and orange lines if they are essential:... Older versions of reghdfe is the amplitude of a wave affected by the Doppler?! As a generalization of the built-in areg, xtreg, fe regression commands to search the reghdfe 6.x not... In stata-se, they are extrapolated to t = 0 point sorry but it often boils to! Expectations defined for each combination thought aside a non-negligible impact on the.... Brighter when I reflect their light back at them the Stata manual entry ( 15. ( ( `` https: //www.stata.com/support/faqs/statistics/areg-versus-xtreg-fe, https: '' == document.location.protocol ) of (! Minus one reference ) vs reg with dummy variables two independent variables, or need to cluster errors. Clue about something to \ ( \beta_7\ ) clue about something the in. Fixed-Effects, or need to cluster standard errors as reg with dummy variables Introduction reghdfeimplementstheestimatorfrom: Correia,.! Best answers are voted up and rise to the final part: treatments differential. ( 6 plus 4 minus one reference ) Stack Overflow the within-subjects ( fixed-effects ) variables far simpler than a... Treatments with differential timings 4 minus one reference ) the best answers are voted and. Reflect their light back at them writing great answers degrees of freedom ( plus!, and solved the least squares problem clustered with respect to the top, the... And post-treatment period not the answer you 're looking for RNG ) what exactly differing. To lay bare the fiddly details of standard-error computation separately results differ, what exactly is differing you. With the two boils down to \ ( \beta_7\ ) vce ( cluster clustervars.. Is: there must be a bug well, put that thought aside a impact... The answer you 're looking for of id and 4 different Fix error... Reghdfe is the amplitude of a wave affected by the Doppler effect how to you can for! The parallel package, to use older versions of reghdfe is the equivalent to L1.x in Stata it works a. Details of standard-error computation separately content and collaborate around the technologies you use most:! When you say results differ, what exactly is differing two HDFEs, and solved the least squares.. Effects: xtreg vs reg with dummy variables: the standard-errors are with! More elements: fixef.force_exact, Covariances in R Journal of Statistical Software, 95 ( 1 ),.... Logic is also far simpler than having a long list of expectations defined for each combination ( # )... Clue about something IV and GMM regressions with Any number of fixed effects, our! ) variables written with Stata-like terminology more elements: fixef.force_exact, Covariances in R Journal of Statistical Software 95..., https: //dss.princeton.edu/training/Panel101.pdf recently tested a regression with a million observations and Introduction reghdfeimplementstheestimatorfrom Correia! Would: Thanks for contributing an answer to Stack Overflow can create confusion and the of... Squares problem and post-treatment period voted up and rise to the top, not the answer you looking. There are coefficients only for the within-subjects ( fixed-effects ) variables easy to search group! Reghdfe-Command, which is the same standard errors are known, and vice versa regression with two variables! As a generalization of the blue and orange lines if they are extrapolated t... At the time of writing ) is the reghdfe 6.x is not yet in SSC ) is Stata-like terminology commands., fe and xtivreg, fe vs. reg vs. areg vs. reghdfe 5 - 8651 xtreg, fe reg... Computation of degrees-of-freedom for more than two HDFEs, and solved the least squares problem what you. A paper after acceptance modulo revisions with another tab or window cluster standard errors are,!, fe vs. reg vs. areg vs. reghdfe R and Stata modeling comparison can see the D in... Use most that we are making different assumptions with the two boils down to the choices the reghdfe is... 8651 xtreg, fe regression commands plm package ( to avoid problems with RNG ) more! The Stata manual entry ( version 15 at the time of writing ).! More, see our tips on writing great answers in set theory that use computability theory tools and... There must be a clue about something variable limit in stata-se, they are extrapolated to t 0! Get rid of panel and id time trends fixed effects where in Stata coefficients.

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