Reghdfe Coefficient. My fixed effect are dum_ date and dum_ firm and I have arranged the

My fixed effect are dum_ date and dum_ firm and I have arranged the deciles in column decile_10. Apr 19, 2024 · Hi, is there any way to compare the coefficients of interaction term across different subgroups using reghdfe? Suppose I'm interested in the effects of union in the city on wage (ln_wage), which makes me interact "union" with "city" variable. 12953. Nov 30, 2022 · You can reconstruct a and b from your -reghdfe- results easily. Jun 10, 2022 · Hi, For an analysis, I want to compare the coefficients between deciles in order to see if this effect changes over the deciles. By choosing a smaller number of variables, it will create smaller temporary matrices, which might just be enough to avoid out–of–memory errors. (rmrf smb hml),savefe) Where id is a categorical variable, and all the other are continuous variables. Given the sizes of the coefficients I would not use 100*b percent but the (exp(b)-1)*100 percent interpretation (you can read the details e. g. Apr 9, 2024 · I am trying to understand what is the difference between running a regression with a bunch of fixed effects by directly creating the dummies versus using reghdfe. The solution: To address this, reghdfe uses several methods to count instances as possible of collinearities of FEs. reghdfe is a Stata package that estimates linear regressions with multiple levels of fixed effects. Below a minimal working example: * The coefficient for ‘did’ is the differences-in-differences estimator. id#c. I am wondering if there is any code such as (reg y x1 x2, beta) to get standardized or beta coefficients for this (two-way fixed effects and two-way clustering) estimates. rmrf id#c. can also be solved efficiently with reghdfe Memory Footprint If you have many non-fixed effect variables in your -reghdfe- regression it can take an unreasonable amount of memory. 05), therefore we conclude that the event did not have a significant effect on the response variable. Working Paper Borrows heavily from previous contributions, many from the Stata camp (reg2hdfe, a2reg, gpreg) Mar 2, 2015 · I'm essentially comparing the coefficients of two different specifications of the independent variable of interest. My main research interests are in Empirical Banking, Corporate Finance, and Economic History. Linear Models with High-Dimensional Fixed Effects: An Efficient and Feasible Estimator. Every time I work with somebody who uses Stata on panel models with fixed effects and clustered standard errors I am mildly confused by Stata’s ‘reghdfe’ function producing standard errors that I am an Economist at the Federal Reserve Bank of Richmond. Oct 22, 2025 · The estimated coefficient for x should be identical regardless of whether time or year is used, since the regressions are mathematically equivalent. I have a large number of FEs in various dimensions so I need to use PS: By the way, several of the other pain points mentioned in your Stata guide, such as separate slope coefficients, fast IV with fixed effects, multiway clustering, etc. May 25, 2016 · I have been using the two following syntaxes to estimate and save the FE coefficients A) reghdfe r, a (i. If my understanding is correct, the two syntaxes should be equivalent. I regress the Robinhood users Mar 8, 2022 · Hello Statalist users, I am trying to test the statistical significance of coefficients of absorbed fixed effects generated using the reghdfe command. Theoretically, treat and post be absorded by fixed effect and thus cannot be estimated. Specifically, I have models a) and b), where Jun 23, 2023 · The coefficient of male#high_skilled_chen in the line 0 1 can be transformed to give you the difference in percent between high-skilled male and female workers. I run the regressions across 2 subsamples as given below Jun 11, 2021 · Normally, when I run regressions for panel data in Stata using these three commands (xtreg, areg, reghdfe), the results regarding the coefficients of variables are quite similar; the only differences are about the R-square and intercept. homicides interaction for when the treatment variable is 1 rather than 0 (see photo below). smb id#c. The effect is not significant at 95% (P>|t| > 0. On this case firm_plant and time_firm. id##c. If all else fails, use the pool(#) option of reghdfe with a smaller value (default is 10). The coefficient of interest, beta3, is the same across the two packages. 1) What are the differences between reg and reghdfe that are generating different coefficients? 1) Why does reghdfe omit variables, whereas reg estimated coefficients for each variable? Mar 6, 2024 · Compare coefficients from reghdfe model on two samples 06 Mar 2024, 18:53 Hi all, I'm trying to compare beta coefficients from the same set of models applied to two different populations (e. Sep 1, 2017 · Test equality of coefficients with SUR using reghdfe 01 Sep 2017, 05:10 Dear all, I wonder how to est for equality of coefficients from two separate regressions (from the same sample) with reghdfe? With reg it is easy to simply use sureg but this does not work with regdhfe.

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