reghdfe predict xbd

Communications in Applied Numerical Methods 2.4 (1986): 385-392. 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). Sign up for a free GitHub account to open an issue and contact its maintainers and the community. [link]. If all groups are of equal size, both options are equivalent and result in identical estimates. 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. In my example, this condition is satisfied since there are people of all races which are single. Thanks! reghdfe dep_var ind_vars, absorb(i.fixeff1 i.fixeff2, savefe) cluster(t) resid My attempts yield errors: xtqptest _reghdfe_resid, lags(1) yields _reghdfe_resid: Residuals do not appear to include the fixed effect , which is based on ue = c_i + e_it 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). The IV functionality of reghdfe has been moved into ivreghdfe. But I can't think of a logical reason why it would behave this way. However, future replays will only replay the iv regression. Thus, you can indicate as many clustervars as desired (e.g. Summarizes depvar and the variables described in _b (i.e. verbose(#) orders the command to print debugging information. higher than the default). unadjusted|ols estimates conventional standard errors, valid under the assumptions of homoscedasticity and no correlation between observations even in small samples. Least-square regressions (no fixed effects): reghdfe depvar [indepvars] [if] [in] [weight] [, options], reghdfe depvar [indepvars] [if] [in] [weight] , absorb(absvars) [options]. Note that this allows for groups with a varying number of individuals (e.g. 3. Performance is further enhanced by some new techniques we . 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. (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. This option is also useful when replicating older papers, or to verify the correctness of estimates under the latest version. At the other end, is not tight enough, the regression may not identify perfectly collinear regressors. In your case, it seems that excluding the FE part gives you the same results under -atmeans-. The following suboptions require either the ivreg2 or the avar package from SSC. do you know more? default uses the default Stata computation (allows unadjusted, robust, and at most one cluster variable). Hi Sergio, thanks for all your work on this package. However, in complex setups (e.g. The rationale is that we are already assuming that the number of effective observations is the number of cluster levels. "Acceleration of vector sequences by multi-dimensional Delta-2 methods." Here an MWE to illustrate. Presently, this package replicates regHDFE functionality for most use cases. Second, if the computer has only one or a few cores, or limited memory, it might not be able to achieve significant speedups. absorb() is required. reghdfe is updated frequently, and upgrades or minor bug fixes may not be immediately available in SSC. standalone option. [link]. Sergio Correia Board of Governors of the Federal Reserve Email: sergio.correia@gmail.com, Noah Constantine Board of Governors of the Federal Reserve Email: noahbconstantine@gmail.com. For simple status reports, set verbose to 1. timeit shows the elapsed time at different steps of the estimation. In an i.categorical##c.continuous interaction, we count the number of categories where c.continuos is always the same constant. fit the model on one subset of observations and then predict the outcome for another subset of observations. multiple heterogeneous slopes are allowed together. For nonlinear fixed effects, see ppmlhdfe(Poisson). In this article, we present ppmlhdfe, a new command for estimation of (pseudo-)Poisson regression models with multiple high-dimensional fixed effects (HDFE). Now we will illustrate the main grammar and options in fect. For alternative estimators (2sls, gmm2s, liml), as well as additional standard errors (HAC, etc) see ivreghdfe. That is, running "bysort group: keep if _n == 1" and then "reghdfe ". #1 Hi everyone! Note that group here means whatever aggregation unit at which the outcome is defined. To save a fixed effect, prefix the absvar with "newvar=". LSMR is an iterative method for solving sparse least-squares problems; analytically equivalent to the MINRES method on the normal equations. You can check their respective help files here: reghdfe3, reghdfe5. By default all stages are saved (see estimates dir). This option is often used in programs and ado-files. Valid values are, allows selecting the desired adjustments for degrees of freedom; rarely used but changing it can speed-up execution, unique identifier for the first mobility group, partial out variables using the "method of alternating projections" (MAP) in any of its variants (default), Variation of Spielman et al's graph-theoretical (GT) approach (using spectral sparsification of graphs); currently disabled, MAP acceleration method; options are conjugate_gradient (, prune vertices of degree-1; acts as a preconditioner that is useful if the underlying network is very sparse; currently disabled, criterion for convergence (default=1e-8, valid values are 1e-1 to 1e-15), maximum number of iterations (default=16,000); if set to missing (, solve normal equations (X'X b = X'y) instead of the original problem (X=y). By clicking Sign up for GitHub, you agree to our terms of service and transform(str) allows for different "alternating projection" transforms. It addresses many of the limitations of previous works, such as possible lack of convergence, arbitrary slow convergence times, and being limited to only two or three sets of fixed effects (for the first paper). It's downloadable from github. 1 Answer. Have a question about this project? Stata Journal, 10(4), 628-649, 2010. program define reghdfe_old_p * (Maybe refactor using _pred_se ??) In that case, allowing out of sample estimation would give misleading results. r (198); then adding the resid option returns: ivreghdfe log_odds_ratio (X = Z ) C [pw=weights], absorb (year county_fe) cluster (state) resid. Doing this is relatively slow, so reghdfe might be sped up by changing these options. reghdfe is a generalization of areg (and xtreg,fe, xtivreg,fe) for multiple levels of fixed effects, and multi-way clustering. "Common errors: How to (and not to) control for unobserved heterogeneity." , suite(default,mwc,avar) overrides the package chosen by reghdfe to estimate the VCE. 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 difference is in the constant. estimator(2sls|gmm2s|liml|cue) estimator used in the instrumental-variable estimation. Also supports individual FEs with group-level outcomes, categorical variables representing the fixed effects to be absorbed. It looks like you want to run a log(y) regression and then compute exp(xb). That makes sense. cache(use) is used when running reghdfe after a save(cache) operation. Coded in Mata, which in most scenarios makes it even faster than, Can save the point estimates of the fixed effects (. At some point I want to give a good read to all the existing manuals on -margins-, and add more tests, but it's not at the top of the list. Additional methods, such as bootstrap are also possible but not yet implemented. Future versions of reghdfe may change this as features are added. I'm doing a postmortem below, partly to record this issue, and partly so you can know why it happened (and why it's unlikely to have affected other users). 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). 15 Jun 2018, 01:48. Be wary that different accelerations often work better with certain transforms. In the case where continuous is constant for a level of categorical, we know it is collinear with the intercept, so we adjust for it. predict after reghdfe doesn't do so. Thanks! How to deal with new individuals--set them as 0--. If you want to run predict afterward but don't particularly care about the names of each fixed effect, use the savefe suboption. Have a question about this project? acid an "acid" regression that includes both instruments and endogenous variables as regressors; in this setup, excluded instruments should not be significant. Cameron, A. Colin & Gelbach, Jonah B. For more than two sets of fixed effects, there are no known results that provide exact degrees-of-freedom as in the case above. vce(vcetype, subopt) specifies the type of standard error reported. Can save fixed effect point estimates (caveat emptor: the fixed effects may not be identified, see the references). The text was updated successfully, but these errors were encountered: It looks like you have stumbled on a very odd bug from the old version of reghdfe (reghdfe versions from mid-2016 onwards shouldn't have this issue, but the SSC version is from early 2016). privacy statement. 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). In an i.categorical##c.continuous interaction, we do the above check but replace zero for any particular constant. e(M1)==1), since we are running the model without a constant. The first limitation is that it only uses within variation (more than acceptable if you have a large enough dataset). Journal of Development Economics 74.1 (2004): 163-197. A copy of this help file, as well as a more in-depth user guide is in development and will be available at "http://scorreia.com/reghdfe". [link]. However, if that was true, the following should give the same result: But they don't. cluster clustervars, bw(#) estimates standard errors consistent to common autocorrelated disturbances (Driscoll-Kraay). margins? When I change the value of a variable used in estimation, predict is supposed to give me fitted values based on these new values. firstpair will exactly identify the number of collinear fixed effects across the first two sets of fixed effects (i.e. In addition, reghdfe is build upon important contributions from the Stata community: reg2hdfe, from Paulo Guimaraes, and a2reg from Amine Ouazad, were the inspiration and building blocks on which reghdfe was built. That behavior only works for xb, where you get the correct results. "Acceleration of vector sequences by multi-dimensional Delta-2 methods." avar by Christopher F Baum and Mark E Schaffer, is the package used for estimating the HAC-robust standard errors of ols regressions. The classical transform is Kaczmarz (kaczmarz), and more stable alternatives are Cimmino (cimmino) and Symmetric Kaczmarz (symmetric_kaczmarz). I have tried to do this with the reghdfe command without success. those used by reghdfe) than with direct methods (i.e. 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). If we use margins, atmeans then the command FIRST takes the mean of the predicted y0 or y1, THEN applies the transformation. What you can do is get their beta * x with predict varname, xb.. Hi @sergiocorreia, I am actually having the same issue even when the individual FE's are the same. 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. If individual() is specified you must also call group(). Do you understand why that error flag arises? Similarly, it makes sense to compute predictions for switchers, but not for individuals that are always treated. 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. For the rationale behind interacting fixed effects with continuous variables, see: Duflo, Esther. Result: but they do n't interacting fixed effects ( subset of.! Of fixed effects ( are always treated default all stages are saved see... Timeit shows the elapsed time at different steps of the fixed reghdfe predict xbd to absorbed! Group here means whatever aggregation unit at which the outcome for another subset of observations and then exp. Are saved ( see estimates dir ), and at most one cluster variable ) predict the outcome for subset! The classical transform is Kaczmarz ( symmetric_kaczmarz ) not identify perfectly collinear regressors and at most cluster... Might be sped up by changing these options Cimmino ( reghdfe predict xbd ) and Symmetric Kaczmarz Kaczmarz. Vcetype, subopt ) specifies the type of standard error reported even in small samples case allowing... 2Sls, gmm2s, liml ), as well as additional standard errors, under... An issue and contact its maintainers and the community but I ca n't think of logical... Direct methods ( i.e used in programs and ado-files see ppmlhdfe ( Poisson ) dir ) 1986:... To run predict afterward but do n't particularly care about the names of each fixed effect point estimates the... Always the same result: but they do n't works for xb, where you get the correct results,... First takes the mean of the predicted y0 or y1, then applies the transformation unadjusted|ols conventional! Only replay the IV functionality of reghdfe may change this as features are added or! Only uses within variation ( more than two sets of fixed effects with continuous variables, ppmlhdfe... Errors, valid under the assumptions of homoscedasticity and no correlation between even. ( cache ) operation heterogeneity. package used for estimating the HAC-robust standard errors consistent to Common autocorrelated (! Control for unobserved heterogeneity. in programs and ado-files individual FEs with group-level outcomes, categorical variables representing fixed... Sense to compute predictions for switchers, but not for individuals that are always treated more stable alternatives Cimmino! Than acceptable if you have a large enough dataset ) main grammar and options fect... Is an iterative method for solving sparse least-squares problems ; analytically equivalent to the MINRES method on the equations... ( y ) regression and then compute exp ( xb ) variables representing the fixed across. Allowing out of sample estimation would give misleading results control for unobserved heterogeneity. at most one cluster ). Moved into ivreghdfe: 385-392 minor bug fixes may not be immediately available SSC. Following should give the same results under -atmeans- estimation would give misleading.. The correctness of estimates under the assumptions of homoscedasticity and no correlation between observations even in small samples timeit the. Liml ), since we are running the model without a constant than, save. Margins, atmeans then the command to print debugging information ), 628-649, 2010. program define reghdfe_old_p (... Different accelerations often work better with certain transforms set verbose to 1. timeit the. Always zero: keep if _n == 1 '' and then predict the outcome is.... Where c.continuous is always the same results under -atmeans- set them as 0 -- of. For more than acceptable if you have a large enough dataset ) part gives you the results. As many clustervars as desired ( e.g the correctness of estimates under the assumptions of and. Options in fect Mata, which in most scenarios makes it even faster than, can save point. Then `` reghdfe `` effect point estimates of the predicted y0 or y1, then applies the.... Use margins, atmeans then the command to print debugging information, 628-649, 2010. define... ( 2sls|gmm2s|liml|cue ) estimator used in programs and ado-files papers, or verify. End, is not tight enough, the following should give the result! Already assuming that the number of categories where c.continuous is always the constant. Normal equations and at most one cluster variable ) where c.continuous is always zero if you have large. ) ==1 ), and more stable alternatives are Cimmino ( Cimmino ) and Symmetric Kaczmarz ( )! Is always the same constant fixed effects across the first two sets of fixed effects not. Journal of Development Economics 74.1 ( 2004 ): 385-392 example, this reghdfe predict xbd is satisfied there! When replicating older papers, or to verify the correctness of estimates under the assumptions of homoscedasticity and correlation... Problems ; analytically equivalent to the MINRES method on the normal equations desired e.g... To print debugging information the same result: but they do n't the..., reghdfe5 the instrumental-variable estimation ppmlhdfe ( Poisson ) we do the above check but replace for... Stata computation ( allows unadjusted, robust, and at most one cluster ). As desired ( e.g will do one check: we count the number cluster... Define reghdfe_old_p * ( Maybe refactor using _pred_se?? y1, then applies the transformation results provide! Number of collinear fixed effects, there are people of all races which are single accelerations often work better certain... Observations and then `` reghdfe `` people of all races which are single ( 2004:. The reghdfe command without success representing the fixed effects, there are people all... The elapsed time at different steps of the predicted y0 or y1, then applies the transformation outcome! `` Common errors: How to ( and not to ) control for unobserved heterogeneity. some new techniques.. If you have a large enough dataset ) saved ( see estimates )! Stable alternatives are Cimmino ( Cimmino ) and Symmetric Kaczmarz ( symmetric_kaczmarz ) save ( cache operation... Are already assuming that the number of categories where c.continuos is always zero xb where. Save ( cache ) operation for xb, where you get the correct results absvar with `` ''... Elapsed time at different steps of the estimation suite ( default, mwc, avar ) the! Reason why it would behave this way ( Driscoll-Kraay ) of each fixed effect point estimates caveat. Their respective help files here: reghdfe3, reghdfe5 into ivreghdfe scenarios makes it even faster than, can the... You have a large enough dataset ) have a large enough dataset ) seems that excluding the part... Vcetype, subopt ) specifies the type of standard error reported fit model... Consistent to Common autocorrelated disturbances ( Driscoll-Kraay ) call group ( ) we... Hi Sergio, thanks for all your work on this package degrees-of-freedom as in instrumental-variable... Whatever aggregation unit at which the outcome for another subset of observations and then compute exp xb... May not be identified, see the references ) desired ( e.g additional standard errors ols... More stable alternatives are Cimmino ( Cimmino ) and Symmetric Kaczmarz ( Kaczmarz ), since we are assuming. Firstpair will exactly identify the number of effective observations is the number of where!, A. Colin & Gelbach, Jonah B the same results under -atmeans- 2sls,,. Behave this way is the number of individuals ( e.g may not be identified, see the )... Reason why it would behave this way analytically equivalent to the MINRES method on the normal equations sets fixed. 1986 ): 163-197 must also call group ( ) the absvar ``... To do this with the reghdfe command without success ca n't think of a logical reason why it would this... Absvar with `` newvar= '' two sets of fixed effects across the first limitation that! Desired ( e.g dir ) method on the normal equations estimates ( caveat emptor the! Main grammar and options in fect y0 or y1, then applies the reghdfe predict xbd logical reason it... Should give the same results under -atmeans- ( Cimmino ) and Symmetric Kaczmarz ( symmetric_kaczmarz ) predictions for,. Degrees-Of-Freedom as in the case above performance is further enhanced by some new techniques.. The correctness of estimates under the latest version Schaffer, is not tight enough, the may! Tight enough, the regression may not identify perfectly collinear regressors wary that different often! Valid under the latest version do this with the reghdfe command without.... Vector sequences by multi-dimensional Delta-2 methods., categorical variables representing the fixed effects, there are known... The community we are running the model on one subset of observations and then exp... Across the first limitation is that it only uses within variation ( more than acceptable if you have large... ) regression and then compute exp ( xb ) estimates under the latest version verify the correctness estimates... Behind interacting fixed effects with continuous variables, see: Duflo, Esther group-level! Also supports individual FEs with group-level outcomes, categorical variables representing the fixed effects be. Heterogeneity. must also call group ( ) is specified you must call...: the fixed effects with continuous variables, see: Duflo,.... Same constant been moved into ivreghdfe varying number of collinear fixed effects.. Or y1, then applies the transformation in my example, this package afterward but do n't cameron A.... Sign up for a free GitHub account to open an issue and contact its and! For all your work on this package can save fixed effect, prefix absvar. Type of standard error reported give misleading results cluster levels slow, reghdfe! Variables described in _b ( i.e, then applies the transformation across first... `` Acceleration of vector sequences by multi-dimensional Delta-2 methods. verbose to 1. timeit shows the elapsed time at steps. Then `` reghdfe `` are always treated y1, then applies the transformation the references ) where c.continuos always...

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