REG2HDFE: Stata module to estimate a Linear Regression Model with two High Dimensional Fixed Effects

Paulo Guimaraes

Statistical Software Components from Boston College Department of Economics

Abstract: This command implements the algorithm of Guimaraes & Portugal for estimation of a linear regression model with two high dimensional fixed effects. The command is particularly suited for use with large data sets because you can "store" the transformed variables and reuse them in alternative specifications. The command is based on the algorithm presented in Carneiro, Guimaraes and Portugal (2009) and explained in more detail in Guimaraes and Portugal (2009).

Language: Stata
Requires: Stata version 9.1
Keywords: regression; fixed effects; two-way fixed effects; Guimaraes & Portugal (search for similar items in EconPapers)
Date: 2009-12-21, Revised 2015-03-28
Note: This module should be installed from within Stata by typing "ssc install reg2hdfe". 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.
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http://fmwww.bc.edu/repec/bocode/r/reg2hdfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/reg2hdfe.hlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457101

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