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REG2HDFE: Stata module to estimate a Linear Regression Model with two High Dimensional Fixed Effects

Author

Listed:
  • Paulo Guimaraes

    (Division of Research, University of South Carolina)

Programming Language

Stata

Abstract

This command implements the algorithm of Guimaraes & Portugal for estimation of a linear regression model with two high dimensional fixed effects. The command is particularly suited for use with large data sets because you can "store" the transformed variables and reuse them in alternative specifications. The command is based on the algorithm presented in Carneiro, Guimaraes and Portugal (2009) and explained in more detail in Guimaraes and Portugal (2009).

Suggested Citation

  • Paulo Guimaraes, 2009. "REG2HDFE: Stata module to estimate a Linear Regression Model with two High Dimensional Fixed Effects," Statistical Software Components S457101, Boston College Department of Economics, revised 28 Mar 2015.
    • Handle: RePEc:boc:bocode:s457101
    Note: This module should be installed from within Stata by typing "ssc install reg2hdfe". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/reg2hdfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/reg2hdfe.hlp
    File Function: help file
    Download Restriction: no
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