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目前使用最多的面板数据模型仍然是固定效应模型 (FE)，最一般的设定形式就是 「二维固定效应模型」

若要估计多维固定效应，reghdfe 是目前运算速度最快的。

如下内容参见： http://scorreia.com/research/reghdfe-slides.pdf

Use it to control for unobservables that stay constant within an economic unit (workers, firms, exporters, importers, etc.)

Applications in many fields: accounting (DeHaan et al 2015), finance (Gormley et al 2015), labor (Guimarães et al 2015), trade (Mayer 2016), etc.

Linear, IV and GMM Regressions With Any Number of Fixed Effects http://scorreia.com/software/reghdfe/

reghdfe: Index || Install || Quickstart || FAQ || Cite || Help

PDF 说明： Sergio Correia, 2016, Linear Models with High-Dimensional Fixed Effects: An Efficient and Feasible Estimator, Working Paper (also see reghdfe and the slides)

相关命令

• help reg2hdfe //
• help a2reg //
• help gpreg //

Description

reghdfe is a generalization of areg (and xtreg,fe, xtivreg,fe) for multiple levels of fixed effects (including heterogeneous slopes), alternative estimators (2sls, gmm2s, liml), and additional robust standard errors (multi-way clustering, hac standard errors, etc).

Additional features include:

1. A novel and robust algorithm to efficiently absorb the fixed effects (extending the work of Guimaraes and Portugal, 2010).
2. Coded in Mata, which in most scenarios makes it even faster than areg and xtreg for a single fixed effect (see benchmarks on the Github page).
3. Can save the point estimates of the fixed effects (caveat emptor: the fixed effects may not be identified, see the references).
4. Calculates the degrees-of-freedom lost due to the fixed effects (note: beyond two levels of fixed effects, this is still an open problem, but we provide a conservative approximation).
5. Iteratively removes singleton groups by default, to avoid biasing the standard errors (see ancillary document).

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reghdfe | Frequently Asked Questions

Contents:

• What does “fixed effect nested within cluster” means?
• Can I use reghdfe with multi-way clustering but without fixed effects?
• Can I absorb the fixed effects formed by the combination of two variables?
• I ran out of memory. What can I do?
• I want to repeat a regression with different outcome variables. Can I compute the transformations only once?
• Where is the constant?
• Why are there four R2s? Which one should I use?
• How can I combine reghdfe with esttab or estout?
• In my model the number of FEs varies by observation. What can I do?
• I want to report a bug or contribute!

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