TWFE: Stata module to perform regressions with two-way fixed effects or match effects for large datasets

Nikolas Mittag

Statistical Software Components from Boston College Department of Economics

Abstract: twfe fits a linear regression model of depvar on indepvars including fixed effects for the units defined by id1(varname) and id2(varname). If matcheffect is specified, fixed effects for the interaction of the two id variables are included. In order to save memory, twfe will change the data in memory. It will replace the data in memory with a dataset containing the id variables, the estimates of the fixed effects (called "fe1", "fe2") and the match length ("mlength"). If matcheffect is specified additional variables for the match id ("matchid") and the match fixed effect ("matchef") are created. See options disk and force for further info. twfe is intended for estimation in large data sets, where constraints on memory and matsize make standard estimation difficult and time consuming. Instead of solving (X'X)b=X'y by inverting X'X it solves the system by computing the slopes first, then using the conjugate gradient algorithm to compute the smaller set of fixed effects and finally solving for the other fixed effects recursively.

Language: Stata
Requires: Stata version 10
Keywords: two-way fixed effects; match effects; conjugate gradient algorithm (search for similar items in EconPapers)
Date: 2012-03-31, Revised 2012-04-04
Note: This module should be installed from within Stata by typing "ssc install twfe". 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/t/twfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/twfe_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/twfe.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/MR_01-12_EN.pdf documentation (application/pdf)

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