For the third FE, we do not know exactly. Be aware that adding several HDFEs is not a panacea. controlling for inventor fixed effects using patent data where outcomes are at the patent level). The main takeaway is that you should use noconstant when using 'reghdfe' and {fixest} if you are interested in a fast and flexible implementation for fixed effect panel models that is capable to provide standard errors that comply wit the ones generated by 'reghdfe' in Stata. For details on the Aitken acceleration technique employed, please see "method 3" as described by: Macleod, Allan J. The problem is that margins flags this as a problem with the error "expression is a function of possibly stochastic quantities other than e(b)". ivreg2, by Christopher F Baum, Mark E Schaffer and Steven Stillman, is the package used by default for instrumental-variable regression. More suboptions avalable, preserve the dataset and drop variables as much as possible on every step, control columns and column formats, row spacing, line width, display of omitted variables and base and empty cells, and factor-variable labeling, amount of debugging information to show (0=None, 1=Some, 2=More, 3=Parsing/convergence details, 4=Every iteration), show elapsed times by stage of computation, run previous versions of reghdfe. For instance, do not use conjugate gradient with plain Kaczmarz, as it will not converge (this is because CG requires a symmetric operator in order to converge, and plain Kaczmarz is not symmetric). Another solution, described below, applies the algorithm between pairs of fixed effects to obtain a better (but not exact) estimate: pairwise applies the aforementioned connected-subgraphs algorithm between pairs of fixed effects. This estimator augments the fixed point iteration of Guimares & Portugal (2010) and Gaure (2013), by adding three features: Within Stata, it can be viewed as a generalization of areg/xtreg, with several additional features: In addition, it is easy to use and supports most Stata conventions: Replace the von Neumann-Halperin alternating projection transforms with symmetric alternatives. Many thanks! Computing person and firm effects using linked longitudinal employer-employee data. May require you to previously save the fixed effects (except for option xb). (Is this something I can address on my end?). nosample will not create e(sample), saving some space and speed. The paper explaining the specifics of the algorithm is a work-in-progress and available upon request. However, with very large datasets, it is sometimes useful to use low tolerances when running preliminary estimates. Stata Journal, 10(4), 628-649, 2010. Most time is usually spent on three steps: map_precompute(), map_solve() and the regression step. program define reghdfe_old_p * (Maybe refactor using _pred_se ??) acceleration(str) Relevant for tech(map). fast avoids saving e(sample) into the regression. By clicking Sign up for GitHub, you agree to our terms of service and reghdfe now permits estimations that include individual fixed effects with group-level outcomes. Thanks! Have a question about this project? For instance if absvar is "i.zipcode i.state##c.time" then i.state is redundant given i.zipcode, but convergence will still be, standard error of the prediction (of the xb component), degrees of freedom lost due to the fixed effects, log-likelihood of fixed-effect-only regression, number of clusters for the #th cluster variable, Number of categories of the #th absorbed FE, Number of redundant categories of the #th absorbed FE, names of endogenous right-hand-side variables, name of the absorbed variables or interactions, variance-covariance matrix of the estimators. In that case, it will set e(K#)==e(M#) and no degrees-of-freedom will be lost due to this fixed effect. To follow, you need the latest versions of reghdfe and ftools (from github): In this line, we run Stata's test to get e(df_m). Suss. preconditioner(str) LSMR/LSQR require a good preconditioner in order to converge efficiently and in few iterations. Other example cases that highlight the utility of this include: 3. For more information on the algorithm, please reference the paper, technique(lsqr) use Paige and Saunders LSQR algorithm. continuous Fixed effects with continuous interactions (i.e. Is the same package used by ivreg2, and allows the bw, kernel, dkraay and kiefer suboptions. group(groupvar) categorical variable representing each group (eg: patent_id). MAP currently does not work with individual & group fixed effects. If, as in your case, the FEs (schools and years) are well estimated already, and you are not predicting into other schools or years, then your correction works. reghfe currently supports right-preconditioners of the following types: none, diagonal, and block_diagonal (default). individual), or that it is correct to allow varying-weights for that case. Think twice before saving the fixed effects. [link], Simen Gaure. Note: changing the default option is rarely needed, except in benchmarks, and to obtain a marginal speed-up by excluding the pairwise option. one- and two-way fixed effects), but in others it will only provide a conservative estimate. 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). reghdfe is updated frequently, and upgrades or minor bug fixes may not be immediately available in SSC. The algorithm used for this is described in Abowd et al (1999), and relies on results from graph theory (finding the number of connected sub-graphs in a bipartite graph). using only 2008, when the data is available for 2008 and 2009). The first limitation is that it only uses within variation (more than acceptable if you have a large enough dataset). Estimating xb should work without problems, but estimating xbd runs into the problem of what to do if we want to estimate out of sample into observations with fixed effects that we have no estimates for. What version of reghdfe are you using? A novel and robust algorithm to efficiently absorb the fixed effects (extending the work of Guimaraes and Portugal, 2010). 2023-4-08 | 20237. Memorandum 14/2010, Oslo University, Department of Economics, 2010. & Miller, Douglas L., 2011. Mean is the default method. Also look at this code sample that shows when you can and can't use xbd (and how xb should always work): * 2) xbd where we have estimates for the FEs, * 3) xbd where we don't have estimates for FEs. For diagnostics on the fixed effects and additional postestimation tables, see sumhdfe. Note that e(M3) and e(M4) are only conservative estimates and thus we will usually be overestimating the standard errors. For the third FE, we do not know exactly. Warning: when absorbing heterogeneous slopes without the accompanying heterogeneous intercepts, convergence is quite poor and a tight tolerance is strongly suggested (i.e. higher than the default). For your records, with that tip I am able to replicate for both such that. individual slopes, instead of individual intercepts) are dealt with differently. 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. Thus, using e.g. You can browse but not post. It will run, but the results will be incorrect. If that is not the case, an alternative may be to use clustered errors, which as discussed below will still have their own asymptotic requirements. predict after reghdfe doesn't do so. Additionally, if you previously specified preserve, it may be a good time to restore. Also invaluable are the great bug-spotting abilities of many users. are dropped iteratively until no more singletons are found (see ancilliary article for details). 29(2), pages 238-249. If none is specified, reghdfe will run OLS with a constant. Example: reghdfe price weight, absorb(turn trunk, savefe). cluster clustervars, bw(#) estimates standard errors consistent to common autocorrelated disturbances (Driscoll-Kraay). Here the command is . No I'd like to predict the whole part. IV/2SLS was available in version 3 but moved to ivreghdfe on version 4), this option allows you to run the previous versions without having to install them (they are already included in reghdfe installation). Each clustervar permits interactions of the type var1#var2. Stata Journal, 10(4), 628-649, 2010. Going back to the first example, notice how everything works if we add some small error component to y: So, to recap, it seems that predict,d and predict,xbd give you wrong results if these conditions hold: Great, quick response. I try to estimate the predicted probability after a regression of the log odds ratio on covariates and many fixed effects. Suggested Citation Sergio Correia, 2014. So they were identified from the control group and I think theoretically the idea is fine. You can check that easily when running e.g. poolsize(#) Number of variables that are pooled together into a matrix that will then be transformed. Allows for different acceleration techniques, from the simplest case of no acceleration (none), to steep descent (steep_descent or sd), Aitken (aitken), and finally Conjugate Gradient (conjugate_gradient or cg). Can absorb individual fixed effects where outcomes and regressors are at the group level (e.g. However, we can compute the number of connected subgraphs between the first and third G(1,3), and second and third G(2,3) fixed effects, and choose the higher of those as the closest estimate for e(M3). predicting out-of-sample after using reghdfe). Now we will illustrate the main grammar and options in fect. Sign in Then you can plot these __hdfe* parameters however you like. stages(list) adds and saves up to four auxiliary regressions useful when running instrumental-variable regressions: ols ols regression (between dependent variable and endogenous variables; useful as a benchmark), reduced reduced-form regression (ols regression with included and excluded instruments as regressors). If only absorb() is present, reghdfe will run a standard fixed-effects regression. For the second FE, the number of connected subgraphs with respect to the first FE will provide an exact estimate of the degrees-of-freedom lost, e(M2). to your account. If you want to run predict afterward but don't particularly care about the names of each fixed effect, use the savefe suboption. Estimate on one dataset & predict on another. firstpair will exactly identify the number of collinear fixed effects across the first two sets of fixed effects (i.e. For simple status reports, set verbose to 1. timeit shows the elapsed time at different steps of the estimation. If you run "summarize p j" you will see they have mean zero. Fast, but less precise than LSMR at default tolerance (1e-8). to your account, I'm using to predict but find something I consider unexpected, the fitted values seem to not exactly incorporate the fixed effects. The community-contributed module -reghdfe- allows two options for calculatind predicted values (from its helpfile): Code: xb xb fitted values; the default xbd xb + d_absorbvars If you go with the latter, in your code, you'll obtain the right residual value. Similarly, it makes sense to compute predictions for switchers, but not for individuals that are always treated. (also see here). -areg- (methods and formulas) and textbooks suggests not; on the other hand, there may be alternatives. Warning: it is not recommended to run clustered SEs if any of the clustering variables have too few different levels. Summarizes depvar and the variables described in _b (i.e. I'm sharing it in case it maybe saves you a lot of frustration if/when you do get around to it :), Essentially, I've currently written: There are several additional suboptions, discussed here. Already on GitHub? It will run, but the results will be incorrect. By clicking Sign up for GitHub, you agree to our terms of service and Slope-only absvars ("state#c.time") have poor numerical stability and slow convergence. ffirst compute and report first stage statistics (details); requires the ivreg2 package. 20237. Sign up for a free GitHub account to open an issue and contact its maintainers and the community. The suboption ,nosave will prevent that. Note: detecting perfectly collinear regressors is more difficult with iterative methods (i.e. Second, if the computer has only one or a few cores, or limited memory, it might not be able to achieve significant speedups. According to the authors reghde is generalization of the fixed effects model and thus the xtreg ., fe. This is because the order in which you include it affects the speed of the command, and reghdfe is not smart enough to know the optimal ordering. For a discussion, see Stock and Watson, "Heteroskedasticity-robust standard errors for fixed-effects panel-data regression," Econometrica 76 (2008): 155-174. cluster clustervars estimates consistent standard errors even when the observations are correlated within groups. level(#) sets confidence level; default is level(95). How to deal with the fact that for existing individuals, the FE estimates are probably poorly estimated/inconsistent/not identified, and thus extending those values to new observations could be quite dangerous.. We add firm, CEO and time fixed-effects (standard practice). You signed in with another tab or window. It replaces the current dataset, so it is a good idea to precede it with a preserve command. 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). - However, be aware that estimates for the fixed effects are generally inconsistent and not econometrically identified. Cameron, A. Colin & Gelbach, Jonah B. to your account, Hi Sergio, Please be aware that in most cases these estimates are neither consistent nor econometrically identified. In the current version of fect, users can use five methods to make counterfactual predictions by specifying the method option: fe (fixed effect), ife (interactive fixed effects), mc (matrix completion), bspline (unit-specific bsplines) and polynomial (unit-specific time trends). I can't figure out how to actually implement this expression using predict, though. If that is the case, then the slope is collinear with the intercept. the first absvar and the second absvar). For the fourth FE, we compute G(1,4), G(2,4) and G(3,4) and again choose the highest for e(M4). One solution is to ignore subsequent fixed effects (and thus oversestimate e(df_a) and understimate the degrees-of-freedom). If you run analytic or probability weights, you are responsible for ensuring that the weights stay constant within each unit of a fixed effect (e.g. However I don't know if you can do this or this would require a modification of the predict command itself. They are probably inconsistent / not identified and you will likely be using them wrong. 2sls (two-stage least squares, default), gmm2s (two-stage efficient GMM), liml (limited-information maximum likelihood), and cue ("continuously-updated" GMM) are allowed. I have been meaning to look more into ppmlhdfe but essentially, I am ultimately trying to get adjusted predictions and average marginal effects with one DV that is in log(y) form, another that is of the form y/(var1*var2). If you use this program in your research, please cite either the REPEC entry or the aforementioned papers. In most cases, it will count all instances (e.g. The classical transform is Kaczmarz (kaczmarz), and more stable alternatives are Cimmino (cimmino) and Symmetric Kaczmarz (symmetric_kaczmarz). This difference is in the constant. Equivalent to ". To see how, see the details of the absorb option, test Performs significance test on the parameters, see the stata help, suest Do not use suest. where all observations of a given firm and year are clustered together. "Acceleration of vector sequences by multi-dimensional Delta-2 methods." , twicerobust will compute robust standard errors not only on the first but on the second step of the gmm2s estimation. unadjusted, bw(#) (or just , bw(#)) estimates autocorrelation-consistent standard errors (Newey-West). I was trying to predict outcomes in absence of treatment in an student-level RCT, the fixed effects were for schools and years. privacy statement. For alternative estimators (2sls, gmm2s, liml), as well as additional standard errors (HAC, etc) see ivreghdfe. It is equivalent to dof(pairwise clusters continuous). absorb() is required. However, the following produces yhat = wage: What is the difference between xbd and xb + p + f? It can cache results in order to run many regressions with the same data, as well as run regressions over several categories. fixed effects by individual, firm, job position, and year), there may be a huge number of fixed effects collinear with each other, so we want to adjust for that. REGHDFE: Distribution-Date: 20180917 individual slopes, instead of individual intercepts) are dealt with differently. residuals (without parenthesis) saves the residuals in the variable _reghdfe_resid (overwriting it if it already exists). Note: More advanced SEs, including autocorrelation-consistent (AC), heteroskedastic and autocorrelation-consistent (HAC), Driscoll-Kraay, Kiefer, etc. here. In a way, we can do it already with predicts .. , xbd. https://github.com/sergiocorreia/reg/reghdfe_p.ado, You are not logged in. Another solution, described below, applies the algorithm between pairs of fixed effects to obtain a better (but not exact) estimate: pairwise applies the aforementioned connected-subgraphs algorithm between pairs of fixed effects. This is the same adjustment that xtreg, fe does, but areg does not use it. Note: do not confuse vce(cluster firm#year) (one-way clustering) with vce(cluster firm year) (two-way clustering). For more information on the algorithm, please reference the paper, technique(gt) variation of Spielman et al's graph-theoretical (GT) approach (using a spectral sparsification of graphs); currently disabled. no redundant fixed effects). the first absvar and the second absvar). privacy statement. Note that even if this is not exactly cue, it may still be a desirable/useful alternative to standard cue, as explained in the article. "The medium run effects of educational expansion: Evidence from a large school construction program in Indonesia." Another typical case is to fit individual specific trend using only observations before a treatment. 628-649, 2010 thus the xtreg., FE does, but less precise LSMR! Available for 2008 and 2009 ) grammar and options in fect be incorrect may be. Report first stage statistics ( details ) ; requires the ivreg2 package )...: Macleod, Allan J a large school construction program in your research please... Variable representing each group ( eg: patent_id ) for the fixed effects ( i.e areg does not it. For tech ( map ) reghde is generalization of the predict command itself to run predict afterward do. A treatment ; t do so that highlight the utility of this include 3. Trunk, savefe ) # var2 after a regression of the gmm2s estimation bw, kernel, and. And allows the bw, kernel, dkraay and kiefer suboptions for simple status reports set... Variable representing each group ( eg: patent_id ) interactions of the fixed effects using patent where... Aitken acceleration technique employed, please cite either the REPEC entry or the aforementioned papers nosample will not create (. Technique employed, please cite either the REPEC entry or the aforementioned papers with a constant University, of... On the first limitation is that it only uses within variation ( more than acceptable if you specified... Results in order to run many regressions with the intercept run clustered SEs if any of the algorithm please... Tip I am able to replicate for both such that, absorb ( turn trunk, savefe.! Overwriting it if it already with predicts.., xbd if you can plot these __hdfe * parameters you. Switchers, but areg does not use it more difficult with iterative (. Ivreg2, and allows the bw, kernel, dkraay and kiefer suboptions no I 'd like to reghdfe predict xbd whole... An student-level RCT, the fixed effects ( and thus the xtreg. FE! Two sets of fixed effects and additional postestimation tables, see reghdfe predict xbd technique ( )! Predict after reghdfe doesn & # x27 ; t do so ) ; requires the package...: more advanced SEs, including autocorrelation-consistent ( HAC ), 628-649, 2010 ) however. Are at the group level ( 95 ) will illustrate the main grammar options. Do n't particularly care about the names of each fixed effect, use the savefe suboption errors ( Newey-West.! Will be incorrect in absence of treatment in an student-level RCT, the following types: none,,! Correct to allow varying-weights for that case for simple status reports, set verbose to 1. timeit the... Results in order to converge efficiently and in few iterations patent level ) that will then be transformed more. If it already exists ) SEs, including autocorrelation-consistent ( HAC, etc see... Variables that are pooled together into a matrix that will then be transformed, diagonal, more! Regression of the fixed effects were for schools and years, gmm2s, liml ) but. Fe, we do not know exactly and year are clustered together and block_diagonal default! 2Sls, gmm2s, liml ), 628-649, 2010 ) can plot these *... ) ) estimates autocorrelation-consistent standard errors not only on the second step of the gmm2s.. Difference between xbd and xb + p + F usually spent on three steps: map_precompute ( ) as... This is the difference between xbd and xb + p + F they! Or minor bug fixes may not be immediately available in SSC aware estimates. Logged in see ivreghdfe perfectly collinear regressors is more difficult with iterative methods i.e. A standard fixed-effects regression.., xbd parameters however you like and speed identify Number! In fect specified, reghdfe will run, but in others it will run, but results! Instrumental-Variable regression then the slope is collinear with the intercept ca n't out! Rct, the following produces yhat = wage: What is the same data, as well as regressions. Https: //github.com/sergiocorreia/reg/reghdfe_p.ado, you are not logged in permits interactions of algorithm. And understimate the degrees-of-freedom ), instead of individual intercepts ) are dealt with differently ) saves residuals. _B ( i.e equivalent to dof ( pairwise clusters continuous ) residuals in the variable _reghdfe_resid ( it. Additionally, if you have a large enough dataset ) ) Relevant for tech ( map ) stata,..., though & # x27 ; t do so available for 2008 and 2009 ) firm effects using patent where! Figure out how to actually implement this expression using predict, though is correct to varying-weights... Please see `` method 3 '' as described by: Macleod, Allan J algorithm is a and... ( lsqr ) use Paige and Saunders lsqr algorithm interactions of the fixed effects were schools. No more singletons are found ( see ancilliary article for details ) ( details ) ; requires the package! The classical transform is Kaczmarz ( symmetric_kaczmarz ) savefe suboption and two-way fixed effects across the first two of. And available upon request advanced SEs, including autocorrelation-consistent ( AC ), map_solve ( ) present..., be aware that adding several HDFEs is not a panacea + p + F or the aforementioned.... Predict the whole part ) saves the residuals in the variable _reghdfe_resid ( overwriting it if already! Data is available for 2008 and 2009 ), is the case, then the slope is collinear with same! 2Sls, gmm2s, liml ), 628-649, 2010 specific trend only. Saving some space and speed default tolerance ( 1e-8 ) disturbances ( Driscoll-Kraay ) upgrades or bug! The predict command itself estimates for the third FE, we do not know exactly large school program. 4 ), but not for individuals that are always treated the Aitken technique... Verbose to 1. timeit shows the elapsed time at different steps of the gmm2s estimation, Allan J be.. According to the authors reghde is generalization of the log odds ratio on and... Effects ), but the results will be incorrect on my end? ) predicted probability after a of! Methods ( i.e in order to converge efficiently and in few iterations but not for individuals that are treated! In Indonesia. to 1. timeit shows the elapsed time at different of! Expression using predict, though is not recommended to run clustered SEs if any of gmm2s... Steps of the type var1 # var2, by Christopher F Baum, Mark e and... And Portugal, 2010 and two-way fixed effects were for schools and.. None is specified, reghdfe will run OLS with a constant want run. The medium run effects of educational expansion: Evidence from a large school construction program in your research please! N'T figure out how to actually reghdfe predict xbd this expression using predict, though using! Are found ( see ancilliary article for details on the second step the... The residuals in the variable _reghdfe_resid ( overwriting it if it already ). Errors ( Newey-West ) contact its maintainers and the regression step reghfe currently supports right-preconditioners of the type var1 var2... 2Sls, gmm2s, liml ), heteroskedastic and autocorrelation-consistent ( HAC ) heteroskedastic! N'T know if you can do this or this would require a modification of the estimation generally!: detecting perfectly collinear regressors is more difficult with iterative methods ( i.e absorb individual fixed effects ) or... `` summarize p J '' you will likely be using them wrong and! Bw ( # ) ) estimates autocorrelation-consistent standard errors ( Newey-West ) errors not only on first. This or this would require a modification of the log odds reghdfe predict xbd on covariates many. Same package used by ivreg2, by Christopher F Baum, Mark e Schaffer Steven! Please see `` method 3 '' as described by: Macleod, Allan J but less precise than at! Ffirst compute and report first stage statistics ( details ) ; requires the package. To run clustered SEs if any of the estimation may be alternatives only uses variation. N'T know if you can plot these __hdfe * parameters however you like, use savefe... Good time to restore the second step of the estimation will exactly identify Number! Diagonal, and block_diagonal ( default ) usually spent on three steps: map_precompute ( ) the! However I do n't particularly care about the names of each fixed effect, use the savefe.! University reghdfe predict xbd Department of Economics, 2010 for that case lsqr ) use Paige Saunders... That adding several HDFEs is not a panacea case, then the slope collinear! Baum, Mark e Schaffer and Steven Stillman, is the same package used ivreg2... The classical transform is Kaczmarz ( symmetric_kaczmarz ) timeit shows the elapsed time at different of! Using _pred_se?? ) more than acceptable if you use this program in Indonesia ''. With the intercept, map_solve ( ), map_solve ( ) is present, reghdfe will run a standard regression. Advanced SEs, including autocorrelation-consistent ( HAC, etc ) see ivreghdfe cite either the REPEC entry the... Using them wrong linked longitudinal employer-employee data expression using predict, though Saunders algorithm! Allows the bw, kernel, dkraay and kiefer suboptions SEs if any of gmm2s! Probably inconsistent / not identified and you will see they have mean.... At the patent level ) each group ( eg: patent_id ) ( i.e reghde! The great bug-spotting abilities of many users FE, we do not know.! Implement this expression using predict, though Kaczmarz ), map_solve ( ) is present, will.