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HDFE: Stata module to partial out variables with respect to a set of fixed effects

Author

Listed:
  • Sergio Correia

    (Duke University)

Programming Language

Stata

Abstract

hdfe will partial out a varlist with respect to a set of fixed effects. It will either overwrite the dataset in memory, or generate new variables. hdfe is the underlying procedure for the reghdfe module, which contains more details about the routine. It can be used as a building block for any regression command that wishes to include multiple high-dimensional fixed effects. It is not a package intended for an end user, but for a package developer. The partialling out is done employing an extension of the methodology of Guimaraes & Portugal (2010), described in detail by Correia (2015, mimeo). It generalizes the within transformation thanks to an iterated application of the Frisch-Waugh-Lovell theorem. For more details, see the Guimaraes & Portugal paper, the help file, or Guimaraes and Portugal (2009).

Suggested Citation

  • Sergio Correia, 2015. "HDFE: Stata module to partial out variables with respect to a set of fixed effects," Statistical Software Components S457985, Boston College Department of Economics, revised 06 Aug 2016.
    • Handle: RePEc:boc:bocode:s457985
    Note: This module should be installed from within Stata by typing "ssc install hdfe". 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/h/hdfe.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hdfe.sthlp
    File Function: help file
    Download Restriction: no
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