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reghdfe: Estimating linear models with multi-way fixed effects

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  • Sergio Correia

    (Duke University, Fuqua School of Business)

Abstract

In this presentation, I describe a novel estimator for linear models with multiple levels of fixed effects. I first show that solving the two-way fixed effects model is equivalent to solving a linear system on a graph, and exploit recent advances in graph theory (Kelner et al, 2013) to propose a nearly-linear time estimator. Second, I embed the estimator into an improved version of the one by Guimarães and Portugal (2010) and Gaure (2013). This new estimator performs particularly well with large datasets and high-dimensional fixed effects, and can be also used as a building block of multiple nonlinear models. Finally, I introduce the reghdfe package, which applies this estimator and extends it to instrumental-variable and linear GMM regressions.

Suggested Citation

  • Sergio Correia, 2016. "reghdfe: Estimating linear models with multi-way fixed effects," 2016 Stata Conference 24, Stata Users Group.
  • Handle: RePEc:boc:scon16:24
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    File URL: http://fmwww.bc.edu/repec/chic2016/chicago16_correia.pdf
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    Cited by:

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    2. Csereklyei, Zsuzsanna & Qu, Songze & Ancev, Tihomir, 2019. "The effect of wind and solar power generation on wholesale electricity prices in Australia," Energy Policy, Elsevier, vol. 131(C), pages 358-369.
    3. Luisa Kinzius & Alexander Sandkamp & Erdal Yalcin, 2019. "Trade protection and the role of non-tariff barriers," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(4), pages 603-643, November.
    4. Stokes, Jonathan & Lau, Yiu-Shing & Kristensen, Søren Rud & Sutton, Matt, 2019. "Does pooling health & social care budgets reduce hospital use and lower costs?," Social Science & Medicine, Elsevier, vol. 232(C), pages 382-388.
    5. Laurent Bergé, 2018. "Efficient estimation of maximum likelihood models with multiple fixed-effects: the R package FENmlm," DEM Discussion Paper Series 18-13, Department of Economics at the University of Luxembourg.
    6. Kausel, Edgar E. & Ventura, Santiago & Rodríguez, Arturo, 2019. "Outcome bias in subjective ratings of performance: Evidence from the (football) field," Journal of Economic Psychology, Elsevier, vol. 75(PB).
    7. Gabriel Lyrio de Oliveira & Andre Luis Squarize Chagas, Denise Leyi Li, 2022. "Public Sector Procurements and Reference Prices Estimation with Small Samples in Brazil," Working Papers, Department of Economics 2022_02, University of São Paulo (FEA-USP).
    8. Sangyoul Lee & Xiang Bi, 2019. "Can adoption of pollution prevention techniques reduce pollution substitution?," PLOS ONE, Public Library of Science, vol. 14(11), pages 1-18, November.
    9. Ramiro Losada, 2022. "Periodic public information on investment funds and how it influences investors´ decisions," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    10. Fabio Schiantarelli & Massimiliano Stacchini & Philip E. Strahan, 2020. "Bank Quality, Judicial Efficiency, and Loan Repayment Delays in Italy," Journal of Finance, American Finance Association, vol. 75(4), pages 2139-2178, August.
    11. Ramiro Losada, 2022. "La información pública periódica de los fondos de inversión: como influyen en las decisiones de los inversores," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
    12. Sebastian Kripfganz & Vasilis Sarafidis, 2021. "Instrumental-variable estimation of large-T panel-data models with common factors," Stata Journal, StataCorp LP, vol. 21(3), pages 659-686, September.
    13. Dierick, Nicolas & Heyman, Dries & Inghelbrecht, Koen & Stieperaere, Hannes, 2019. "Financial attention and the disposition effect," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 190-217.

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