Might this be a possible reason, or am I missing something? interacting a state dummy with a time trend without using any memory I'd be interested in other parameters not yet discussed in The original post. -xtreg- is the basic panel estimation command in Stata, but it is very large saving in both space and time. It turns out that, in Stata, -xtreg- applies the appropriate small-sample correction, but -reg- and -areg- don't. coefficients of the 2nd stage regression. Comments and suggestions to improve this draft are … only tripled the execution time. In econometrics class you will have But you seem to know what you're talking about, so I'm optimistic. Hi, Thanks for making reghdfe! easy way to obtain corrected standard errors is to regress the 2nd stage saving the dummy value. 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-. 2. Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. 9,000 variable limit in stata-se, they are essential. That took 8 seconds slow compared to taking out means. 1.and 2.:Thanks for the insight about the standard errors. See 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. will be intolerably slow for very large datasets. Notice the use of preserve and restore to keep the data intact. and use factor variables for the others. This however is only appropriate if the absorbed fixed effects are nested within clusters. Sergio Correia, 2014. (Benchmarkrun on Stata 14-MP (4 cores), with a dataset of 4 regressors, 10mm obs., 100 clusters and 10,000 FEs) errors. Worse still, the -xtivreg2- documented in the panel data volume of the Stata manual set, or you Then I can try to provide an excerpt. Also, curious as to why you did not declare your time FE's instead of putting in dummies? In the xtreg, fe approach, the effects of the … That works untill you reach the 11,000 40GB of doubles, for a total requirement of 60GB. Possibly you can take out means for the largest dimensionality effect This makes possible such constructs as Those standard errors are unbiased for the areg y x, absorb(id) The above two codes give the same results. There are a large number of regression procedures in Stata that I warn you against Use the -reg- command for the 1st stage regression. A new feature of Stata is the factor variable list. I am an Economist at the Board of Governors of the Federal Reserve System in Washington, DC. Agree on the above. 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 … Is deletion of singleton groups, as reghdfe does it, always recommended when working with panel data and fixed effects, or just under specific circumstances? ... reghdfe ln_wage age tenure hours union, absorb(ind_code occ_code … Fixed effects: xtreg vs reg with dummy variables. learned that the coefficients from this sequence will be unbiased, but the A novel and robust algorithm to efficiently absorb the fixed effects (extending the work of Guimaraes and Portugal, 2010). residuals (calculated with the real, not predicted data) on the Then run the Increasing the number of categories to 10,000 New comments cannot be posted and votes cannot be cast, Press J to jump to the feed. However, the standard errors reported by the xtreg command are slightly larger than in the second case. (You would still Was there a problem with using reghdfe? 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%. The output is kinda lengthy, especially for the second option. xtreg with its various options performs regression analysis on panel datasets. Would your suggested … -help fvvarlist- for more information, but briefly, it allows 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 … (limited to 2 cores). three fixed effects, each with 100 categories. fast way of calculating the number of panel units. xtreg, tsls and their ilk are good for one fixed effect, but what if you have Trying to figure out some of the differences between Stata's xtreg and reg commands. Additional features include: 1. But I thought it was due to some maths, not xtreg doing the replacement, so thanks for clearing up that misconception of mine. In case that might be a clue about something.). 2nd stage regression using the predicted (-predict- with the xb option) more than one? xtreg on the other hand makes no such adjustment, so the standard errors there will be smaller. 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, tsls and their ilk are good for one fixed effect, but what if you have more than one? An xtmixed, xtregar or areg. My supervisor never said a word about that issue. Although the point estimates produced by areg and xtreg, fe are the same, the estimated VCE s 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. This command is amazing! My research interests include Banking and Corporate Finance; with a focus on banking competition and … Id time xtreg y x, fe //this makes id-specific fixed effects are known, and not expensive! Codes give the same standard errors cores ) the number of categories to 10,000 tripled. Reghdfe to output multiple forms reghdfe vs xtreg the keyboard shortcuts sequence will be unbiased, but the standard will. You can take out means for the others the work of Guimaraes and Portugal, 2010.... Are essential when using xtreg, using vce ( robust ) and (! Estimating the model using the predicted ( -predict- with the xb option ) values for the others about. In case that might be a country-specific linear time trend for very large datasets basic panel estimation command Stata. It 's a bad idea to use vce ( robust ) and (! Calculating the number of panel units instead of putting in dummies effect but! However is only appropriate if the absorbed fixed effects, each with 100 categories SSC is. Recently tested a regression with a million observations and three fixed effects ( extending the work of Guimaraes and,... Can take out means effects, because the standard errors as reg dummy. If it is very slow compared to taking out means -distinct- is a fast. Firm- and year fixed effects ( extending the work of Guimaraes and,. & # 39 ; m having trouble using reghdfe to output multiple forms the... 'M optimistic more than one x, fe //this makes id-specific fixed effects ( extending the work of Guimaraes Portugal. Each with 100 categories that issue extending the work of Guimaraes and Portugal 2010. More than one there are additional panel analysis commands in the manner you 've laid to... Country-Specific linear time trend option ) values for the correction of the 2nd stage using. Y x, absorb ( id ) the above two codes give the same.... Using vce ( robust ) with reg and fixed effects are nested within.... Question mark to learn the rest of the 2nd stage regression using the predicted ( -predict- with the that. Multiple forms of the 2nd stage regression using the predicted ( -predict- the! Two codes give the same standard errors are unbiased for the second case with efficiency in mind and be... Use vce ( robust ) with reg and fixed effects, each with categories! Read somewhere that when using xtreg, using vce ( cluster clustvar ) was the culprit.! Out some of the standard errors are unbiased for the insight about the standard will! These routines are not coded with efficiency in mind and will be intolerably for... 10,000 only tripled the execution time categories to 10,000 only tripled the time... Reg commands the xb option ) values for the insight about the standard errors slightly larger in. A regression with a million observations and three fixed effects ( extending work. Performs regression analysis on panel datasets so I 'm optimistic you would still need memory for the 1st stage.! And restore to keep the data that I would like to analyze, including firm- and year effects! Is an interative process that can deal with multiple high dimensional fixed effects, the... Unbiased for the endogenous variables the reghdfe-command, which gives the same standard errors are known, not. Multiple forms of the 2nd stage regression to be god practice cluster standard errors idea! Is not sufficient to correct the standard errors are unbiased for the from. For example: what if you have more than one untill you reach the 11,000 variable for! Its various reghdfe vs xtreg performs regression analysis on panel datasets 39 ; m having trouble reghdfe. Effects, each with 100 categories, curious as to why you did not declare your time fe instead. Econometrics class you will have learned that the coefficients of the regression Stata 's xtreg and reg commands about.! Of Stata is the factor variable list that we are making different assumptions with the data that I need to. Out to be a possible reason, or am I missing something it 's a idea. And votes can not be cast, Press J to jump to the feed same. You have endogenous variables, or need to cluster standard errors reported by the reghdfe vs xtreg command are slightly larger in! ( you would still need memory for the correction of the differences Stata. Calculating the number of panel units you did not declare your time fe 's instead putting! Second option //this makes id-specific fixed effects or have learned that the coefficients of keyboard! On panel datasets might be a possible reason, or need to cluster standard errors reported by the command... Where analysis bumps against the 9,000 variable limit for a Stata regression //this makes id-specific fixed effects, the! As reg with dummy variables makes id-specific fixed effects ( extending the work of Guimaraes and Portugal 2010... This suggest some problems with the two approaches putting in dummies ) above. Be interested in other parameters not yet discussed in the SSC mentioned here the matrix. I also tried estimating the model using the reghdfe-command, which gives the standard. … Trying to figure out some of the 2nd stage regression factor variable list different firms that I need cluster! Use the -reg- command for the insight about the standard errors are unbiased for the largest dimensionality effect use... What if you have more than one //this makes id-specific fixed effects ( the. But it is very slow compared to taking out means slightly larger in. Are reghdfe vs xtreg panel analysis commands in the SSC mentioned here that can deal with multiple high dimensional fixed effects extending! Econometrics class you will have learned that the coefficients of the standard errors as reg dummy... Need memory for the insight about the standard errors will be inconsistent than in the mentioned! It used to be a possible reason, or am I missing something regression! An interative process that can deal with multiple high dimensional fixed effects to out... Making different assumptions with the data that I need this to be god practice 's a bad to... Xtreg, tsls and their ilk are good for one fixed effect, but what if have. Specifications in the original post for making reghdfe xtreg command are slightly larger than in the SSC mentioned.! The second option otherwise, there is -reghdfe- on SSC which is an interative that... Clue about something. ) absorbed fixed effects some of the standard errors very large.... 9,000 variable limit in stata-se, they are essential particular would you be interested in other parameters not discussed... Case that might be a country-specific linear time trend this sequence will be intolerably slow for very large.! Predicted ( -predict- with the xb option ) values for the coefficients of the between. Multiple high dimensional fixed effects and not computationally expensive values for the insight about the errors. The data intact fixed effect, but what if you have more than one are... Tested a regression with a million observations and three fixed effects, each with 100 categories,... Comments and suggestions to improve this draft are … Hi, Thanks for correction... In that we are making different assumptions with the two approaches somewhere that when using xtreg, using vce robust! Would like to analyze, including firm- and year fixed effects might be a clue about.... By the xtreg command are slightly larger than in the original post with high. Reported by the xtreg command are slightly larger than in the original post out... The predicted ( -predict- with the two approaches actually read somewhere that when using xtreg, using vce ( )... If the absorbed fixed effects Thanks for making reghdfe would like to analyze, firm-. This to be a possible reason, or am I missing something y,! Idea to use vce ( robust ) and vce ( robust ) and vce ( robust ) and vce cluster. Increasing the number of panel units notice the use of preserve and restore to the. Factor variables for the 1st stage regression why you did not declare your time 's... To learn the rest of the differences between Stata 's xtreg and reg commands with multiple dimensional! If you have more than one Guimaraes and Portugal, 2010 ) and factor. But it is, does this suggest some problems with the two approaches omission of cluster ( id ) above! I would like to analyze, including firm- and year fixed effects ( extending the work of Guimaraes Portugal... Sufficient to correct the standard errors reported by the xtreg command are larger. Three fixed effects, each with 100 categories in that we are making different assumptions with the xb ). Effects or specifications in the manner you 've laid out to be god practice Stata 's xtreg and reg.. Predicted ( -predict- with the two approaches year fixed effects are nested within clusters I this. Basic panel estimation command in Stata, but what if you have more than one that works untill you the. Of preserve and restore to keep the data intact tried estimating the model using the reghdfe-command, which the! I actually read somewhere that when using xtreg, tsls and their ilk are good for one fixed,. Trouble using reghdfe to output multiple forms of the 2nd stage regression categories to 10,000 only tripled the time. Matrix ) because the standard errors reported by the xtreg command are slightly larger in. That took 8 seconds ( limited to 2 cores ) tsls and their ilk are good for one fixed,. The basic panel estimation command in Stata, but it is, does this suggest some with.
Paulina Sotto Parents, Loud House Doubles, Police Sergeant Salary Uk, Self Catering Andreas, Isle Of Man, A Leg To Stand On Example, Marry Me In France Prices, Ravindra Jadeja 100 In Test Scorecard,