REGIFE: Stata module to estimate linear models with interactive fixed effects

Matthieu Gomez ()
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Matthieu Gomez: Princeton University

Statistical Software Components from Boston College Department of Economics

Abstract: regife fits a model with interactive fixed effects following Bai (Econometrica, 2009). Optionally, it saves the estimated factors. Errors are computed following the regressions indicated in Section 6, but Monte Carlo evidence suggest bootstraps performs better in finite sample. The program requires reghdfe and hdfe to be installed from SSC.

Language: Stata
Requires: Stata version 12 and hdfe, reghdfe from SSC (q.v.)
Keywords: interactive fixed effects; Bai (search for similar items in EconPapers)
Date: 2015-07-08, Revised 2021-09-03
Note: This module should be installed from within Stata by typing "ssc install regife". 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/regife.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/innerregife.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/regife.sthlp help file (text/plain)

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