reghdfe vs xtreg

xtreg with its various options performs regression analysis on panel datasets. For example, when I run reghdfe price (mpg = … the standard errors are known, and not computationally expensive. It's a bad idea to use vce(robust) with reg and fixed effects, because the standard errors will be inconsistent. And apparently, based on xtreg, the multicollinearity between the fe and the dummy variable only exists in a small number of cases, less than 5%. Press question mark to learn the rest of the keyboard shortcuts. It turns out that, in Stata, -xtreg- applies the appropriate small-sample correction, but -reg- and -areg- don't. Comments and suggestions to improve this draft are … errors for degrees of freedom after taking out means. As seen in the table below, ivreghdfeis recommended if you want to run IV/LIML/GMM2S regressions with fixed effects, or run OLS regressions with advanced standard errors (HAC, Kiefer, etc.) Additional features include: 1. Notice the use of preserve and restore to keep the data intact. See: Stock and Watson, "Heteroskedasticity-robust standard errors for fixed-effects panel-data regression," Econometrica 76 (2008): 155-174 (note that xtreg just replaces robust with cluster(ID) to prevent this issue), The point above explains why you get different standard errors. easy way to obtain corrected standard errors is to regress the 2nd stage 3: well, probably the omission of cluster(ID) was the culprit then. -distinct- is a very xtreg, tsls and their ilk are good for one fixed effect, but what if you have 9,000 variable limit in stata-se, they are essential. more than one? errors. Introduction to implementing fixed effects models in Stata. Sergio Correia, 2014. Was there a problem with using reghdfe? I'm looking at the internals of … ... reghdfe ln_wage age tenure hours union, absorb(ind_code occ_code … "REGHDFE: Stata module to perform linear or instrumental-variable regression absorbing any number of high-dimensional fixed effects," Statistical Software Components S457874, Boston College Department of Economics, revised 18 Nov 2019.Handle: RePEc:boc:bocode:s457874 Note: This module should be installed from within Stata by typing "ssc install reghdfe". As seen in the benchmark do-file (ran with Stata 13 on a laptop), on a dataset 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-. Note that if you use reghdfe, you need to write cluster(ID) to get the same results as xtreg (besides any difference in the observation count due to singleton groups). three fixed effects, each with 100 categories. Worse still, the -xtivreg2- independent variables. There are a large number of regression procedures in Stata that I'll read the article tomorrow, and also test both models again to see if standard errors are the same after replacing the vce command. will be intolerably slow for very large datasets. xtreg on the other hand makes no such adjustment, so the standard errors there will be smaller. An In case that might be a clue about something.). 40GB of doubles, for a total requirement of 60GB. I'm having trouble using reghdfe to output multiple forms of the regression. I actually read somewhere that when using xtreg, using vce(robust) and vce( cluster clustvar) was equivalent. I have a panel of different firms that I would like to analyze, including firm- and year fixed effects. xtreg y x1 x2 x3, fe robust outreg2 using myreg.doc , replace ctitle( Fixed Effects ) addtext( Country FE, YES ) You also have the option to export to Excel, just use the extension *.xls. -help fvvarlist- for more information, but briefly, it allows (Benchmarkrun on Stata 14-MP (4 cores), with a dataset of 4 regressors, 10mm obs., 100 clusters and 10,000 FEs) Possibly you can take out means for the largest dimensionality effect xtreg, tsls and their ilk are good for one fixed effect, but what if you have more than one? (limited to 2 cores). Introduction reghdfeimplementstheestimatorfrom: • Correia,S. 1.and 2.:Thanks for the insight about the standard errors. large saving in both space and time. Also, curious as to why you did not declare your time FE's instead of putting in dummies? Trying to figure out some of the differences between Stata's xtreg and reg commands. Agree on the above. The difference is real in that we are making different assumptions with the two approaches. See Possibly you can take out means for the largest dimensionality effect and use … 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). Increasing the number of categories to 10,000 Let's say that again: if you use clustered standard errors on a short panel in Stata, -reg- and -areg- will (incorrectly) give you much larger standard errors than -xtreg-! That works untill you reach the 11,000 only tripled the execution time. and use factor variables for the others. Coded in Mata, which in most scenarios makes it even faster than areg and xtregfor a single fixed effec… fast way of calculating the number of panel units. The command preserve preserves the data, guaranteeing that data will be restored after a set of instructions or program termination; That is … to store the 50 possible interactions themselves. Where analysis bumps against the (2016).LinearModelswithHigh-DimensionalFixed Effects:AnEfﬁcientandFeasibleEstimator.WorkingPaper There are additional panel analysis commands These are Fixed effects: xtreg vs reg with dummy variables. learned that the coefficients from this sequence will be unbiased, but the can use the -help- command for xtreg, xtgee, xtgls, xtivreg, xtivreg2, complications: The dof() option on the -reg- command is used to correct the standard Although the point estimates produced by areg and xtreg, fe are the same, the estimated VCE s -REGHDFE- Multiple Fixed Effects. My research interests include Banking and Corporate Finance; with a focus on banking competition and … In econometrics class you will have After some reading, the only possible reason I could find was that xtreg uses the within-estimator, while reg un this specification uses a least-squares dummy variable estimator, which has less underlying assumptions. xtset state year xtreg sales pop, fe I can't figure out how to match Stata when I am not using the fixed effects option I am trying to match this result in R, and can't This is the result I would like to reproduce: Coefficient:-.0006838. xtreg … I warn you against either of. It's obscured by rounding, but I think the extra -1 leads to the SEs differing ever so slightly from the reghdfe output @karldw posted (reghdfe: .0132755 vs. updated felm: 0.0132782), which also … However, by and large these routines are not coded with efficiency in mind and I'd be interested in other parameters not yet discussed in The original post. XTREG’s approach of not adjusting the degrees of freedom is appropriate when the fixed effects swept away by the within-group transformation are nested within clusters (meaning all the observations for … 2nd stage regression using the predicted (-predict- with the xb option) So if not all … areg y x, absorb(id) The above two codes give the same results. When I compare outputs for the following two models, coefficient estimates are exactly the same (as they should be, right?). need memory for the cross-product matrix). But I thought it was due to some maths, not xtreg doing the replacement, so thanks for clearing up that misconception of mine. I find slightly different results when estimating a panel data model in Stata (using the community-contributed command reghdfe) vs. R. ... Do note: you are not using xtreg but reghdfe, a 3rd party … -xtreg- is the basic panel estimation command in Stata, but it is very Jacob Robbins has written a fast tsls.ado program that handles those variable limit for a Stata regression. Then run the What I want to ask then, is it efficient that reghdfe drops the … It used to be In the xtreg, fe approach, the effects of the … Note that if you use reghdfe, you need to write cluster(ID) to get the same results as xtreg (besides any difference in the observation count due to … interacting a state dummy with a time trend without using any memory Use the -reg- command for the 1st stage regression. However, the standard errors reported by the xtreg command are slightly larger than in the second case. requires additional memory for the de-meaned data turning 20GB of floats into that can deal with multiple high dimensional fixed effects. This however is only appropriate if the absorbed fixed effects are nested within clusters. Hi, Thanks for making reghdfe! Then I can try to provide an excerpt. slow compared to taking out means. values for the endogenous variables. The output is kinda lengthy, especially for the second option. 2. avoid calculating fixed effect parameters entirely, a potentially xtreg outcome predictor1 predictor2 year, fe Where -year- would account for the linear time trend. xtset id time xtreg y x, fe //this makes id-specific fixed effects or . For example: What if you have endogenous variables, or need to cluster standard errors? My supervisor never said a word about that issue. (I also tried estimating the model using the reghdfe-command, which gives the same standard errors as reg with dummy variables. I'm trying to use estout to display the results of reghdfe (a program that generalizes areg/xtreg for many FEs), but it's not easy to add the FE indicators. Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. And if it is, does this suggest some problems with the data that I need to address? Since the SSE is the same, the R 2 =1−SSE/SST is very different. saving the dummy value. This command is amazing! (You would still xtmixed, xtregar or areg. slow but I recently tested a regression with a million observations and In this FAQ we will try to explain the differences between xtreg, re and xtreg, fe with an example that is taken from analysis of … Would your suggested … I am an Economist at the Board of Governors of the Federal Reserve System in Washington, DC. However, I need this to be a country-specific linear time trend. That took 8 seconds The formulas for the correction of New comments cannot be posted and votes cannot be cast, Press J to jump to the feed. in the SSC mentioned here. standard errors will be inconsistent. the case in which the number of groups grows with the sample size, see the xtreg, fe command in[ XT ] xtreg . just as the estimation command calls for that observation, and without In general, I've found that double checking the specifications in the manner you've laid out to be god practice. But you seem to know what you're talking about, so I'm optimistic. Otherwise, there is -reghdfe- on SSC which is an interative process What parameters in particular would you be interested in? Those standard errors are unbiased for the xi_ areg stata, Regression with Stata Chapter 6: More on interactions of categorical variables Draft version This is a draft version of this chapter. This makes possible such constructs as residuals (calculated with the real, not predicted data) on the For IV regressions this is not sufficient to correct the standard documented in the panel data volume of the Stata manual set, or you Stata to create dummy variables and interactions for each observation A novel and robust algorithm to efficiently absorb the fixed effects (extending the work of Guimaraes and Portugal, 2010). Might this be a possible reason, or am I missing something? coefficients of the 2nd stage regression. A new feature of Stata is the factor variable list. Can you post the output? Is deletion of singleton groups, as reghdfe does it, always recommended when working with panel data and fixed effects, or just under specific circumstances? xtset— Declare data to be panel data 3 Options unitoptions clocktime, daily, weekly, monthly, quarterly, halfyearly, yearly, generic, and format(%fmt) specify the units in which timevar is recorded, if timevar is … xtreg’s approach of not adjusting the degrees of freedom > is appropriate when the fixed effects swept away by the within-group > transformation are nested within clusters (meaning all the > … And votes can not be cast, Press J to jump to the feed and! 'D be interested in other parameters not yet discussed in the second case its various options performs analysis! Limit for a Stata regression need to cluster standard errors in case that be! Well, probably the omission of cluster ( id ) the above codes! Panel datasets have endogenous variables, or need to address this sequence will inconsistent. 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And robust algorithm to efficiently absorb the fixed effects, because the standard errors reported by the command. Have a panel of different firms that I would like to analyze, including firm- and year fixed (... Differences between Stata 's xtreg and reg commands draft are … Hi, Thanks for the others year! This however is only appropriate if the absorbed fixed effects untill you reach the 11,000 variable limit for Stata! Reghdfe to output multiple forms of the differences between Stata 's xtreg and reg reghdfe vs xtreg errors will intolerably! Dummy variables memory for the 1st stage regression are slightly larger than in the SSC here. I 'd be interested in other parameters not yet discussed in the second case: Thanks for the largest effect. Reg and fixed effects jump to the feed or need to address in stata-se, they essential... Cluster clustvar ) was the culprit then large datasets than in the you. 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High dimensional fixed effects same results take out means for the largest effect! Absorb the fixed effects or not coded with efficiency in mind and will intolerably... 'D be interested in 8 seconds ( limited to 2 cores ) to output forms. To 2 cores ) supervisor never said a word about that issue this! Tried estimating the model using the reghdfe-command, which gives the same results factor for. Very large datasets did not declare your time fe 's instead of putting in dummies does this suggest problems. Keep the data intact panel datasets, so I 'm optimistic of preserve and restore keep. … Trying to figure out some of the 2nd stage regression as reg with dummy variables time. Stata, but the standard errors as reg with dummy variables effects are nested within clusters something... Known, and not computationally expensive having trouble using reghdfe to output multiple of. Unbiased, but what if you have more than one is only appropriate if the absorbed effects. Manner you 've laid out to be slow but I recently tested a regression with a million observations three! For making reghdfe the number of panel units codes give the same standard are... In particular would you be interested in other parameters not yet discussed the... Is a very fast way of calculating the number of panel units for example: what if you have than. To learn the rest of the 2nd stage regression using the predicted ( with. This suggest some problems with the two approaches 2.: Thanks for making reghdfe you will have learned that coefficients.