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REGINTFE: Stata module to estimate a linear regression model with one interacted high dimensional fixed effect

Author

Listed:
  • Paulo Guimaraes

    (University of Porto)

Programming Language

Stata

Abstract

This command estimates a linear regression model with one high-dimensional interacted fixed effect. The command makes use of the Frisch-Waugh-Lovell result to avoid computing the dummy variables and the interactions for the fixed effects. Because of this it can be used with a very large number of groups for the fixed effect.

Suggested Citation

  • Paulo Guimaraes, 2012. "REGINTFE: Stata module to estimate a linear regression model with one interacted high dimensional fixed effect," Statistical Software Components S457517, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457517
    Note: This module should be installed from within Stata by typing "ssc install regintfe". 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/regintfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/regintfe.hlp
    File Function: help file
    Download Restriction: no
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