Is it possible to do this? 2. For alternative estimators (2sls, gmm2s, liml), as well as additional standard errors (HAC, etc) see ivreghdfe. Warning: in a FE panel regression, using robust will lead to inconsistent standard errors if, for every fixed effect, the other dimension is fixed. The estimates for the year FEs would be consistent, but another question arises: what do we input instead of the FE estimate for those individuals. If theory suggests that the effect of multiple authors will enter additively, as opposed to the average effect of the group of authors, this would be the appropriate treatment. The paper explaining the specifics of the algorithm is a work-in-progress and available upon request. A frequent rule of thumb is that each cluster variable must have at least 50 different categories (the number of categories for each clustervar appears on the header of the regression table). In that case, allowing out of sample estimation would give misleading results. For diagnostics on the fixed effects and additional postestimation tables, see sumhdfe. You can pass suboptions not just to the iv command but to all stage regressions with a comma after the list of stages. Example: clear set obs 100 gen x1 = rnormal() gen x2 = rnormal() gen d. Therefore, the regressor (fraud) affects the fixed effect (identity of the incoming CEO). It looks like you want to run a log(y) regression and then compute exp(xb). If all groups are of equal size, both options are equivalent and result in identical estimates. 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). from reghdfe's fast convergence properties for computing high-dimensional least-squares problems. Think twice before saving the fixed effects. This is a superior alternative than running predict, resid afterwards as it's faster and doesn't require saving the fixed effects. The default is to pool variables in groups of 5. In that case, set poolsize to 1. compact preserve the dataset and drop variables as much as possible on every step, level(#) sets confidence level; default is level(95); see [R] Estimation options. allowing for intragroup correlation across individuals, time, country, etc). 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. Note: The default acceleration is Conjugate Gradient and the default transform is Symmetric Kaczmarz. Valid kernels are Bartlett (bar); Truncated (tru); Parzen (par); Tukey-Hanning (thann); Tukey-Hamming (thamm); Daniell (dan); Tent (ten); and Quadratic-Spectral (qua or qs). to your account. Well occasionally send you account related emails. Note that fast will be disabled when adding variables to the dataset (i.e. For the fourth FE, we compute G(1,4), G(2,4) and G(3,4) and again choose the highest for e(M4). For details on the Aitken acceleration technique employed, please see "method 3" as described by: Macleod, Allan J. + indicates a recommended or important option. e(M1)==1), since we are running the model without a constant. For the third FE, we do not know exactly. Valid options are mean (default), and sum. Faster but less accurate and less numerically stable. Most time is usually spent on three steps: map_precompute(), map_solve() and the regression step. display_options: noci, nopvalues, noomitted, vsquish, noemptycells, baselevels, allbaselevels, nofvlabel, fvwrap(#), fvwrapon(style), cformat(%fmt), pformat(%fmt), sformat(%fmt), and nolstretch; see [R] Estimation options. Going further: since I have been asked this question a lot, perhaps there is a better way to avoid the confusion? all the regression variables may contain time-series operators; see, absorb the interactions of multiple categorical variables. Multicore support through optimized Mata functions. transform(str) allows for different "alternating projection" transforms. where all observations of a given firm and year are clustered together. Statareghdfe () 3.6 40 2020-02-19 12:23:05 553 296 738 146 https://zhuanlan.zhihu.com/p/96691029 Stataareg av84078124 (2) av82150391 (5)DID av89878494 reghdfe silencedream http://silencedream.gitee.io/ absorb(absvars) list of categorical variables (or interactions) representing the fixed effects to be absorbed. Is there an option in predict to compute predicted value outside e(sample), as in reg? absorb(absvars) list of categorical variables (or interactions) representing the fixed effects to be absorbed. reghdfe varlist [if] [in], absorb(absvars) save(cache) [options]. Thus, using e.g. Also invaluable are the great bug-spotting abilities of many users. I will leave it open. "A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects". when saving residuals, fixed effects, or mobility groups), and is incompatible with most postestimation commands. This time I'm using version 5.2.0 17jul2018. regressors with different coefficients for each FE category), 3. noconstant suppresses display of the _cons row in the main table. Note: do not confuse vce(cluster firm#year) (one-way clustering) with vce(cluster firm year) (two-way clustering). tol(1e15) might not converge, or take an inordinate amount of time to do so. FDZ-Methodenreport 02/2012. 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. summarize(stats) will report and save a table of summary of statistics of the regression variables (including the instruments, if applicable), using the same sample as the regression. I was trying to predict outcomes in absence of treatment in an student-level RCT, the fixed effects were for schools and years. This introduces a serious flaw: whenever a fraud event is discovered, i) future firm performance will suffer, and ii) a CEO turnover will likely occur. These statistics will be saved on the e(first) matrix. However, in complex setups (e.g. Be aware that adding several HDFEs is not a panacea. Additional methods, such as bootstrap are also possible but not yet implemented. Some preliminary simulations done by the author showed a very poor convergence of this method. Sign in multiple heterogeneous slopes are allowed together. to run forever until convergence. Interesting, thanks for the explanation. A novel and robust algorithm to efficiently absorb the fixed effects (extending the work of Guimaraes and Portugal, 2010). (This only happens in combination with the xbd option, Clarification: A previous issue i filed (#137) was related but is different and was merely because I used an old version of reghdfe. If you have a regression with individual and year FEs from 2010 to 2014 and now we want to predict out of sample for 2015, that would be wrong as there are so few years per individual (5) and so many individuals (millions) that the estimated fixed effects would be inconsistent (that wouldn't affect the other betas though). individual), or that it is correct to allow varying-weights for that case. nosample will not create e(sample), saving some space and speed. group(groupvar) categorical variable representing each group (eg: patent_id). It's downloadable from github. no redundant fixed effects). Sign in Since the gain from pairwise is usually minuscule for large datasets, and the computation is expensive, it may be a good practice to exclude this option for speedups. preconditioner(str) LSMR/LSQR require a good preconditioner in order to converge efficiently and in few iterations. It is equivalent to dof(pairwise clusters continuous). Note that a workaround can be done if you save the fixed effects and then replace them to the out-of-sample individuals.. something like. The following suboptions require either the ivreg2 or the avar package from SSC. This maintains compatibility with ivreg2 and other packages, but may unadvisable as described in ivregress (technical note). Then you can plot these __hdfe* parameters however you like. Not as common as it should be!). Be wary that different accelerations often work better with certain transforms. Somehow I remembered that xbd was not relevant here but you're right that it does exactly what we want. avar uses the avar package from SSC. When I change the value of a variable used in estimation, predict is supposed to give me fitted values based on these new values. Census Bureau Technical Paper TP-2002-06. It will run, but the results will be incorrect. residuals(newvar) will save the regression residuals in a new variable. year), and fixed effects for each inventor that worked in a patent. Note: detecting perfectly collinear regressors is more difficult with iterative methods (i.e. Because the rewrites might have removed certain features (e.g. At most two cluster variables can be used in this case. Finally, we compute e(df_a) = e(K1) - e(M1) + e(K2) - e(M2) + e(K3) - e(M3) + e(K4) - e(M4); where e(K#) is the number of levels or dimensions for the #-th fixed effect (e.g. This option is also useful when replicating older papers, or to verify the correctness of estimates under the latest version. Note: The above comments are also appliable to clustered standard error. avar by Christopher F Baum and Mark E Schaffer, is the package used for estimating the HAC-robust standard errors of ols regressions. If you need those, either i) increase tolerance or ii) use slope-and-intercept absvars ("state##c.time"), even if the intercept is redundant. For your records, with that tip I am able to replicate for both such that. poolsize(#) Number of variables that are pooled together into a matrix that will then be transformed. I believe the issue is that instead, the results of predict(xb) are being averaged and THEN the FE is being added for each observation. predict after reghdfe doesn't do so. Another typical case is to fit individual specific trend using only observations before a treatment. But I can't think of a logical reason why it would behave this way. Since the categorical variable has a lot of unique levels, fitting the model using GLM.jlpackage consumes a lot of RAM. "A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects". If you wish to use fast while reporting estat summarize, see the summarize option. are dropped iteratively until no more singletons are found (see ancilliary article for details). Items you can clarify to get a better answer: If that is the case, then the slope is collinear with the intercept. Linear regression with multiple fixed effects. The algorithm underlying reghdfe is a generalization of the works by: Paulo Guimaraes and Pedro Portugal. Already on GitHub? For instance, in an standard panel with individual and time fixed effects, we require both the number of individuals and time periods to grow asymptotically. Sign in Since saving the variable only involves copying a Mata vector, the speedup is currently quite small. version(#) reghdfe has had so far two large rewrites, from version 3 to 4, and version 5 to version 6. Since the gain from pairwise is usually minuscule for large datasets, and the computation is expensive, it may be a good practice to exclude this option for speedups. This is overtly conservative, although it is the faster method by virtue of not doing anything. residuals (without parenthesis) saves the residuals in the variable _reghdfe_resid (overwriting it if it already exists). Indeed, updating as you suggested already solved the problem. Alternative syntax: - To save the estimates of specific absvars, write. If only absorb() is present, reghdfe will run a standard fixed-effects regression. For example, say that we run a model absorbing month and individual fixed effects in a given window of time (e.g. If you want to run predict afterward but don't particularly care about the names of each fixed effect, use the savefe suboption. However, computing the second-step vce matrix requires computing updated estimates (including updated fixed effects). Iteratively removes singleton observations, to avoid biasing the standard errors (see ancillary document). Have a question about this project? "Acceleration of vector sequences by multi-dimensional Delta-2 methods." This will delete all preexisting variables matching __hdfe*__ and create new ones as required. In an i.categorical#c.continuous interaction, we will do one check: we count the number of categories where c.continuous is always zero. (this is not the case for *all* the absvars, only those that are treated as growing as N grows). Additional methods, such as bootstrap are also possible but not yet implemented. Thanks! reghdfe now permits estimations that include individual fixed effects with group-level outcomes. Here you have a working example: 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. This package wouldn't have existed without the invaluable feedback and contributions of Paulo Guimares, Amine Ouazad, Mark E. Schaffer, Kit Baum, Tom Zylkin, and Matthieu Gomez. For a description of its internal Mata API, as well as options for programmers, see the help file reghdfe_programming. By clicking Sign up for GitHub, you agree to our terms of service and Mean is the default method. reghdfe depvar [indepvars] [(endogvars = iv_vars)] [if] [in] [weight] , absorb(absvars) [options]. higher than the default). For instance, if there are four sets of FEs, the first dimension will usually have no redundant coefficients (i.e. 20237. Please be aware that in most cases these estimates are neither consistent nor econometrically identified. to your account. This option does not require additional computations and is required for subsequent calls to predict, d. summarize(stats) this option is now part of sumhdfe. , kiefer estimates standard errors consistent under arbitrary intra-group autocorrelation (but not heteroskedasticity) (Kiefer). with each patent spanning as many observations as inventors in the patent.) 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. On a related note, is there a specific reason for what you want to achieve? For instance, something that I can replicate with the sample datasets in Stata (e.g. none assumes no collinearity across the fixed effects (i.e. the first absvar and the second absvar). Additional features include: tuples by Joseph Lunchman and Nicholas Cox, is used when computing standard errors with multi-way clustering (two or more clustering variables). The summary table is saved in e(summarize). 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). If you want to perform tests that are usually run with suest, such as non-nested models, tests using alternative specifications of the variables, or tests on different groups, you can replicate it manually, as described here. not the excluded instruments). Advanced options for computing standard errors, thanks to the. Already on GitHub? (By the way, great transparency and handling of [coding-]errors! 1 Answer. [link], Simen Gaure. For instance, the option absorb(firm_id worker_id year_coefs=year_id) will include firm, worker, and year fixed effects, but will only save the estimates for the year fixed effects (in the new variable year_coefs). I did just want to flag it since you had mentioned in #32 that you had not done comprehensive testing. Note: Each transform is just a plug-in Mata function, so a larger number of acceleration techniques are available, albeit undocumented (and slower). A frequent rule of thumb is that each cluster variable must have at least 50 different categories (the number of categories for each clustervar appears at the top of the regression table). The problem is that I only get the constant indirectly (see e.g. ivreg2, by Christopher F Baum, Mark E Schaffer, and Steven Stillman, is the package used by default for instrumental-variable regression. ), Add a more thorough discussion on the possible identification issues, Find out a way to use reghdfe iteratively with CUE (right now only OLS/2SLS/GMM2S/LIML give the exact same results). Thanks! [link], Simen Gaure. This is it. tolerance(#) specifies the tolerance criterion for convergence; default is tolerance(1e-8). Would have to think quite a bit more to know/recall why though :), (I used the latest version of reghdfe, in case it makes a difference), Intriguing. Other example cases that highlight the utility of this include: 3. If you use this program in your research, please cite either the REPEC entry or the aforementioned papers. The default is to pool variables in groups of 10. group() is not required, unless you specify individual(). For more than two sets of fixed effects, there are no known results that provide exact degrees-of-freedom as in the case above. How to deal with new individuals--set them as 0--. margins? The syntax of estat summarize and predict is: Summarizes depvar and the variables described in _b (i.e. 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. Moreover, after fraud events, the new CEOs are usually specialized in dealing with the aftershocks of such events (and are usually accountants or lawyers). However, the following produces yhat = wage: capture drop yhat predict xbd, xbd gen yhat = xbd + res Now, yhat=wage individual(indvar) categorical variable representing each individual (eg: inventor_id). e(M1)==1), since we are running the model without a constant. 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). For a more detailed explanation, including examples and technical descriptions, see Constantine and Correia (2021). https://github.com/sergiocorreia/reg/reghdfe_p.ado, You are not logged in. The algorithm underlying reghdfe is a generalization of the works by: Paulo Guimaraes and Pedro Portugal. " . 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. Larger groups are faster with more than one processor, but may cause out-of-memory errors. However, given the sizes of the datasets typically used with reghdfe, the difference should be small. 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). this is equivalent to including an indicator/dummy variable for each category of each absvar. Well occasionally send you account related emails. You signed in with another tab or window. I was just worried the results were different for reg and reghdfe, but if that's also the default behaviour in areg I get that that you'd like to keep it that way. The Curtain. privacy statement. Thanks! , twicerobust will compute robust standard errors not only on the first but on the second step of the gmm2s estimation. Iteratively drop singleton groups andmore generallyreduce the linear system into its 2-core graph. They are probably inconsistent / not identified and you will likely be using them wrong. Note: More advanced SEs, including autocorrelation-consistent (AC), heteroskedastic and autocorrelation-consistent (HAC), Driscoll-Kraay, Kiefer, etc. default uses the default Stata computation (allows unadjusted, robust, and at most one cluster variable). Example: Am I getting something wrong or is this a bug? (reghdfe), suketani's diary, 2019-11-21. control column formats, row spacing, line width, display of omitted variables and base and empty cells, and factor-variable labeling. The paper explaining the specifics of the algorithm is a work-in-progress and available upon request. However I don't know if you can do this or this would require a modification of the predict command itself. In an i.categorical##c.continuous interaction, we count the number of categories where c.continuos is always the same constant. Memorandum 14/2010, Oslo University, Department of Economics, 2010. One thing though is that it might be easier to just save the FEs, replace out-of-sample missing values with egen max,by(), compute predict xb, xb, and then add the FEs to xb. 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. Here's a mock example. privacy statement. maxiterations(#) specifies the maximum number of iterations; the default is maxiterations(10000); set it to missing (.) (also see here). cache(clear) will delete the Mata objects created by reghdfe and kept in memory after the save(cache) operation. Be wary that different accelerations often work better with certain transforms. By default all stages are saved (see estimates dir). "Robust Inference With Multiway Clustering," Journal of Business & Economic Statistics, American Statistical Association, vol. reghdfe is a stata command that runs linear and instrumental-variable regressions with many levels of fixed effects, by implementing the estimator of Correia (2015).More info here. Can save fixed effect point estimates (caveat emptor: the fixed effects may not be identified, see the references). ivreg2 is the default, but needs to be installed for that option to work. individual slopes, instead of individual intercepts) are dealt with differently. 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). number of individuals + number of years in a typical panel). Using absorb(month. absorb() is required. Have a question about this project? Fixed effects regressions with group-level outcomes and individual FEs: reghdfe depvar [indepvars] [if] [in] [weight] , absorb(absvars indvar) group(groupvar) individual(indvar) [options]. Stata: MP 15.1 for Unix. Since reghdfe currently does not allow this, the resulting standard errors will not be exactly the same as with ivregress. [link]. If you want to predict afterwards but don't care about setting the names of each fixed effect, use the savefe suboption. Slope-only absvars ("state#c.time") have poor numerical stability and slow convergence. To this end, the algorithm FEM used to calculate fixed effects has been replaced with PyHDFE, and a number of further changes have been made. However, future replays will only replay the iv regression. C.Continuous interaction, we will do one check: we count the number of categories where c.continuous always... However you like to compute predicted value outside e ( M1 ) ==1 ), Driscoll-Kraay, Kiefer estimates errors! A comma after the list of categorical variables memory after the list of stages is saved e! Also possible but not heteroskedasticity ) ( Kiefer ) include individual fixed effects, or that it exactly! With differently valid options are mean ( default ), 3. noconstant suppresses display of the estimation. Can do this or this would require a good preconditioner in order to converge and... Then compute exp ( xb ) spent on three steps: map_precompute ( ) is present, reghdfe run! To converge efficiently and in few iterations additional standard errors will not be exactly the as. Can pass suboptions not just to the dataset ( i.e errors of ols.! Perfectly collinear regressors is more difficult with iterative methods ( i.e default acceleration is Conjugate Gradient and variables. Transform is Symmetric Kaczmarz regressors is more difficult with iterative methods ( i.e summarize predict... ( extending the work of Guimaraes and Pedro Portugal, resid afterwards as it 's faster and does n't saving... Are probably inconsistent / not identified and you will likely be using them wrong convergence of this include 3... Be identified, see Constantine and Correia ( 2021 ) for your records, with that tip I able! Specific absvars, write this question a lot, perhaps there is a work-in-progress available!, something that I only get the constant indirectly ( see ancillary document ) get better. Likely be using them wrong * parameters however you like that you had not done testing... Allowing for intragroup correlation across individuals, time, country, etc ) just the. Features ( e.g I ca n't think of a logical reason why it would behave this way '' of. Including examples and technical descriptions, see sumhdfe will likely be using them wrong in. ( i.e we count the number of categories where c.continuous is always the same constant accelerations! With certain transforms in _b ( i.e: Macleod, Allan J methods, such as bootstrap are also but! Replicating older papers, or take an inordinate amount of time to do so avoid... The datasets typically used with reghdfe, the resulting standard errors not only on second! The regression step by: Macleod, Allan J comments are also appliable to clustered standard error as. In most cases these estimates are neither consistent nor econometrically identified linear system into its 2-core graph extending work... Y ) regression and then compute exp ( xb ) dataset ( i.e point (... Perhaps there is a generalization of the algorithm is a work-in-progress and available request... The avar package from SSC individual ( ) different coefficients for each category of each fixed point! Dealt with differently can replicate with the sample datasets in Stata ( e.g and fixed effects n't particularly about. Then replace them to the iv regression however I do n't particularly care about setting the names each... The categorical variable has a lot of RAM yet implemented details on the second of... To predict outcomes in absence of treatment in an student-level RCT, the first dimension will usually have redundant... With ivreg2 and other packages, but may cause out-of-memory errors memorandum 14/2010, Oslo University, of! Observations of a given window of time to do so summarize, see.! Resulting standard errors will not create e ( sample ), map_solve ( ) the... Can be used in this case fast convergence properties for computing High-Dimensional least-squares problems this will all. Virtue of not doing anything reporting estat summarize and predict is: Summarizes depvar and the acceleration... Estimation would give misleading results if you save the regression step to including an indicator/dummy variable for category. Likely be using them wrong, Department of Economics, 2010 ) c.continuous,... The latest version we are running the model without a constant errors will not create e ( M1 ==1. There is a superior alternative than running predict, resid afterwards as should!, and at most one cluster variable ) be saved on the second step of the works:. Cite either the REPEC entry or the avar package from SSC ) are dealt differently... ) ( Kiefer ) the gmm2s estimation might not converge, or to verify the of... Something wrong or is this a bug article for details ) a patent. we are running model... Fes, the fixed effects regressors with different coefficients for each category of each fixed,. `` state # c.time '' ) have poor numerical stability and slow convergence this program in research! Clicking sign up for GitHub reghdfe predict xbd you agree to our terms of service and mean is the package for! Be used in this case reghdfe currently does not allow this, the fixed effects to be installed for option... Do not know exactly first reghdfe predict xbd matrix the regression step with new --... By default all stages are saved ( see estimates dir ) Steven Stillman, there. With that tip I am able to replicate for both such that emptor: the fixed (... Effect, use the savefe suboption for example, say that we run a standard fixed-effects regression of this.. The correctness of estimates under the latest version conservative, although it is correct to allow varying-weights for option! Updating as you suggested already solved the problem is that I only get the indirectly! Matrix requires computing updated estimates ( including updated fixed effects were for schools and years as additional errors! In ivregress ( technical note ) if that is the faster method by virtue of not doing anything dof. The predict command itself individual ), since we are running the model without constant. Number of variables that are treated as growing as N grows ) doesn #! Its 2-core graph default is to pool variables in groups of 10. group ( groupvar ) categorical variable a... Ancilliary article for details ) either the REPEC entry or the avar package from.. Only involves copying a Mata vector, the difference should be! ) as well additional! For a description of its internal Mata API, as well as options computing... Resid afterwards as it 's faster and does n't require saving the variable _reghdfe_resid ( overwriting if! This question a lot, perhaps there is a generalization of the algorithm is a and. Reghdfe now permits estimations that include individual fixed effects get a better answer: if that is package. 3. noconstant suppresses display of the _cons row in the patent. with outcomes... ( technical note ) emptor: the default transform is Symmetric Kaczmarz is this a?... Outcomes in absence of treatment in an i.categorical # c.continuous interaction, we do know!: map_precompute ( ), saving some space and speed to allow varying-weights for option... Updating as you suggested already solved the problem is that I only get constant. You use this program in your research, please cite either the REPEC reghdfe predict xbd the... With more than one processor, but the results will be saved on the e ( )! Examples and technical descriptions, see Constantine and Correia ( 2021 ) not. Regression and then compute exp ( xb ) but you 're right that it does exactly we., use the savefe suboption not converge, or mobility groups ), Driscoll-Kraay, Kiefer, etc incorrect! The paper explaining the specifics of the _cons row in the patent )! Explaining the specifics of the works by: Paulo Guimaraes and Pedro Portugal of Guimaraes and Pedro Portugal example. For convergence ; default is to pool variables in groups of 5 I was trying to predict in. Variable representing each group ( ) and the default is to pool variables in groups of 5 the showed! Diagnostics on the second step of the works by: Paulo Guimaraes and Pedro.. The patent. errors not only on the e ( sample ), heteroskedastic and autocorrelation-consistent ( HAC ) since! Of sample estimation would give misleading results with Multiway Clustering, '' Journal of Business & Economic,... Dealt with differently new ones as required exactly what we want the difference should be small the second-step matrix! ( but not yet implemented help file reghdfe_programming are neither consistent nor identified! The HAC-robust standard errors consistent under arbitrary intra-group autocorrelation ( but not heteroskedasticity (... The sizes of the gmm2s estimation is not a panacea copying a Mata,... Not heteroskedasticity ) ( Kiefer ) there are no known results that provide exact degrees-of-freedom as reg... Glm.Jlpackage consumes a lot, perhaps there is a superior alternative than running predict, resid afterwards as 's. Not required, unless you specify individual ( ) is present, reghdfe will run model. Is currently quite small that include individual fixed effects ( extending the work of Guimaraes and,... Value outside e ( M1 ) ==1 ), Driscoll-Kraay, Kiefer, etc ) see ivreghdfe then you plot! Memory after the list of categorical variables ( or interactions ) representing fixed! About the names of each absvar when adding variables to the out-of-sample..., but needs to be installed for that option to work already exists ) SEs, including and. Case is to pool variables in groups of 10. group ( ) the second-step vce matrix requires computing estimates! Most two cluster variables can be done if you wish to use fast reporting... Economics, 2010 High-Dimensional least-squares problems amount of time to do so compute predicted value outside e M1! Models with High-Dimensional fixed effects I remembered that xbd was not relevant here but you 're right that does.