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reghdfe: Estimating linear models with multi-way fixed effects


  • Sergio Correia

    (Duke University, Fuqua School of Business)


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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