REGHDFE

https://scorreia.com/software/reghdfe/
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REGHDFE is a Stata package for running linear and instrumental-variable regressions with multiple...
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### Install REGHDFE Development Version

Source: https://scorreia.com/software/reghdfe/install.html

Installs the latest development version of reghdfe and its dependencies from GitHub. Ensure ftools and parallel are installed if needed. This method is recommended for accessing recent improvements.

```stata
* Install ftools (remove program if it existed previously)
cap ado uninstall ftools
net install ftools, from("https://raw.githubusercontent.com/sergiocorreia/ftools/master/src/")

* Install reghdfe 6.x
cap ado uninstall reghdfe
net install reghdfe, from("https://raw.githubusercontent.com/sergiocorreia/reghdfe/master/src/")

* Install parallel, if using the parallel() option; don't install from SSC
cap ado uninstall parallel
net install parallel, from(https://raw.githubusercontent.com/gvegayon/parallel/stable/) replace
mata mata mlib index
```

--------------------------------

### Install IVREGHDFE for IV/GMM Regressions

Source: https://scorreia.com/software/reghdfe/install.html

Installs ivreghdfe, which is required for running IV/GMM regressions. It also installs ivreg2 as a core dependency. Use this command after installing the main reghdfe package.

```stata
cap ado uninstall ivreghdfe
cap ssc install ivreg2 // Install ivreg2, the core package
net install ivreghdfe, from(https://raw.githubusercontent.com/sergiocorreia/ivreghdfe/master/src/)
```

--------------------------------

### Manual Installation of REGHDFE Packages

Source: https://scorreia.com/software/reghdfe/install.html

Provides commands for manual installation of reghdfe, ftools, and ivreghdfe from local directories. This is useful for firewalled servers. Ensure the zip files are downloaded and extracted to the specified paths.

```stata
cap ado uninstall ftools
cap ado uninstall reghdfe
cap ado uninstall ivreghdfe
net install ftools, from(c:\git\ftools)
net install reghdfe, from(c:\git\reghdfe)
net install ivreghdfe, from(c:\git\ivreghdfe)
```

--------------------------------

### Install REGHDFE Stable Version

Source: https://scorreia.com/software/reghdfe/install.html

Use this command to install the latest stable release of reghdfe from Stata's Statistical Software Components (SSC) archive. Requires Stata 13.1 or newer.

```stata
ssc install reghdfe
```

--------------------------------

### Fixed Effect Nested Within Cluster Example

Source: https://scorreia.com/software/reghdfe/faq.html

Demonstrates the 'fixed effect nested within cluster' scenario where a fixed effect variable is also used for clustering. The output shows a message indicating that the fixed effect is treated as redundant for DoF computation.

```stata
. sysuse auto
(1978 Automobile Data)

`. reghdfe price weight length, absorb(turn trunk) vce(cluster turn)`

  (output omitted)

Absorbed degrees of freedom:
---------------------------------------------------------------+               
 Absorbed FE |  Num. Coefs.  =   Categories  -   Redundant     | 
-------------+-------------------------------------------------|
        turn |            0              13             13 *   | 
       trunk |           12              13              1     | 
---------------------------------------------------------------+               
* = fixed effect nested within cluster; treated as redundant for DoF computation


```

--------------------------------

### Clear Cached Regression Transformations

Source: https://scorreia.com/software/reghdfe/faq.html

Use the cache(clear) option to remove all saved transformations from the cache. This is useful to free up memory or start fresh.

```stata
. reghdfe, cache(clear)
```

--------------------------------

### Basic Syntax Comparison

Source: https://scorreia.com/software/reghdfe/quickstart.html

Compares the basic syntax of `areg` with `reghdfe` for absorbing fixed effects.

```stata
. areg depvar indepvars, absorb(absvar)
Becomes:
. reghdfe depvar indepvars, absorb(absvar1 absvar2 …)
```

```stata
. reghdfe depvar indepvars (endogvars=iv_vars), absorb(absvars)
```

```stata
. reghdfe depvar indepvars , absorb(absvars) vce(robust)
```

```stata
. reghdfe depvar indepvars , absorb(absvars) vce(cluster clustervars)
```

--------------------------------

### Manage Memory with pool() Option

Source: https://scorreia.com/software/reghdfe/faq.html

Use the pool(#) option with a smaller value to reduce memory usage and avoid out-of-memory errors. The default is 10.

```stata
. reghdfe y x1 x2 , absorb(country#year) pool(5)
```

--------------------------------

### Use Cached Regression Transformations

Source: https://scorreia.com/software/reghdfe/faq.html

Use the cache(use) option to load previously saved transformations. This speeds up regressions when the absorbed fixed effects are the same as a previous regression.

```stata
. reghdfe price length, absorb(turn trunk) cache(use)

HDFE Linear regression                            Number of obs   =         65
Absorbing 2 HDFE groups                           F(   1,     39) =       4.54
                                                  Prob > F        =     0.0394
                                                  R-squared       =     0.4598
                                                  Adj R-squared   =     0.1136
                                                  Within R-sq.    =     0.1043
                                                  Root MSE        =  2727.2009

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      length |   114.9727   53.95093     2.13   0.039     5.846653    224.0988
------------------------------------------------------------------------------

Absorbed degrees of freedom:
---------------------------------------------------------------+ 
 Absorbed FE |  Num. Coefs.  =   Categories  -   Redundant     | 
-------------+-------------------------------------------------|
        turn |           13              13              0     | 
       trunk |           12              13              1     | 
---------------------------------------------------------------+ 

```

```stata
. reghdfe price weight, absorb(turn trunk) cache(use)

HDFE Linear regression                            Number of obs   =         65
Absorbing 2 HDFE groups                           F(   1,     39) =      25.39
                                                  Prob > F        =     0.0000
                                                  R-squared       =     0.6347
                                                  Adj R-squared   =     0.4005
                                                  Within R-sq.    =     0.3943
                                                  Root MSE        =  2242.7172

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      weight |   5.055336   1.003362     5.04   0.000     3.025846    7.084826
------------------------------------------------------------------------------

Absorbed degrees of freedom:
---------------------------------------------------------------+ 
 Absorbed FE |  Num. Coefs.  =   Categories  -   Redundant     | 
-------------+-------------------------------------------------|
        turn |           13              13              0     | 
       trunk |           12              13              1     | 
---------------------------------------------------------------+ 

```

--------------------------------

### Generate formatted regression tables with estfe and esttab

Source: https://scorreia.com/software/reghdfe/faq.html

Use estfe to prepare fixed effect labels for esttab, ensuring clean output for models with multiple fixed effects.

```stata
* Setup
sysuse auto

* Run and store regressions
reghdfe price weight length, a(turn) keepsing
estimates store model1
reghdfe price weight length, a(turn trunk) keepsing
estimates store model2
reghdfe price weight length, a(turn foreign) keepsing
estimates store model2

* Prepare estimates for -estout-
	estfe . model*, labels(turn "Turn FE" turn#trunk "Turn-Trunk FE")
	return list

* Run estout/esttab
	esttab . model* , indicate("Length Controls=length" `r(indicate_fe)')
		
* Return stored estimates to their previous state
	estfe . model*, restore
```

--------------------------------

### Cache Regression Transformations

Source: https://scorreia.com/software/reghdfe/faq.html

Use the cache(save) option to compute and save transformations for later use. This avoids recomputing them for subsequent regressions with the same absorbed fixed effects.

```stata
. sysuse auto
(1978 Automobile Data)

. reghdfe price weight length, absorb(turn trunk) cache(save)
(dropped 9 singleton observations)
(converged in 12 iterations)
```

--------------------------------

### Multi-way Clustering Without Fixed Effects

Source: https://scorreia.com/software/reghdfe/faq.html

Shows how to perform regression with multi-way clustering using REGHDFE without specifying any fixed effects. This is achieved by omitting the `absorb()` option and providing multiple cluster variables to `vce(cluster ...)`. The output includes robust standard errors adjusted for the specified clusters.

```stata
. sysuse auto
(1978 Automobile Data)

`. reghdfe price weight length, vce(cluster turn trunk)`
(converged in 1 iterations)

HDFE Linear regression                            Number of obs   =         74
Absorbing 1 HDFE group                            F(   2,     17) =      34.60
Statistics robust to heteroskedasticity           Prob > F        =     0.0000
                                                  R-squared       =     0.3476
                                                  Adj R-squared   =     0.3292
Number of clusters (turn)    =         18         Within R-sq.    =     0.3476
Number of clusters (trunk)   =         18         Root MSE        =  2415.7351

                            (Std. Err. adjusted for 18 clusters in turn trunk)
------------------------------------------------------------------------------
             |               Robust
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      weight |   4.699065   2.650909     1.77   0.094    -.8938651    10.29199
      length |  -97.96031    91.6812    -10.7   0.300    -291.3907     95.4701
------------------------------------------------------------------------------


```

--------------------------------

### Estimate IV Regression with reghdfe

Source: https://scorreia.com/software/reghdfe/quickstart.html

Use this command to estimate an instrumental variables regression with absorbed fixed effects. The syntax specifies the dependent variable, endogenous regressors in parentheses, and exogenous regressors. Absorbed fixed effects are specified using the `absorb()` option.

```stata
. reghdfe price weight (length = gear), absorb(turn trunk)
```

--------------------------------

### Estimate OLS with Fixed Effects

Source: https://scorreia.com/software/reghdfe/quickstart.html

Estimates an OLS regression with two levels of fixed effects using `reghdfe`. Ensure data is loaded and necessary variables are present.

```stata
. sysuse auto
(1978 Automobile Data)

. reghdfe price weight length, absorb(turn trunk)
(dropped 9 singleton observations)
(converged in 12 iterations)

HDFE Linear regression                            Number of obs   =         65
Absorbing 2 HDFE groups                           F(   2,     38) =      12.85
                                                  Prob > F        =     0.0001
                                                  R-squared       =     0.6403
                                                  Adj R-squared   =     0.3942
                                                  Within R-sq.    =     0.4035
                                                  Root MSE        =  2254.6288

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      weight |   5.688144   1.302818     4.37   0.000     3.050727    8.325561
      length |  -44.21191   57.60797    -0.77   0.448    -160.8332    72.40933
-------------+----------------------------------------------------------------
    Absorbed |         F(24, 38) =      1.548   0.110             (Joint test)
------------------------------------------------------------------------------

Absorbed degrees of freedom:
---------------------------------------------------------------+ 
 Absorbed FE |  Num. Coefs.  =   Categories  -   Redundant     | 
-------------+-------------------------------------------------|
        turn |           13              13              0     | 
       trunk |           12              13              1     | 
---------------------------------------------------------------+
```

--------------------------------

### Estimate OLS with Two-Way Clustering

Source: https://scorreia.com/software/reghdfe/quickstart.html

Estimates an OLS regression with two-way clustering on fixed effects using `reghdfe`. This is useful for handling clustered errors.

```stata
. reghdfe price weight length, absorb(turn trunk) vce(cluster turn trunk)
(dropped 9 singleton observations)
(converged in 12 iterations)

HDFE Linear regression                            Number of obs   =         65
Absorbing 2 HDFE groups                           F(   2,     12) =      16.59
Statistics robust to heteroskedasticity           Prob > F        =     0.0004
                                                  R-squared       =     0.6403
                                                  Adj R-squared   =     0.3778
Number of clusters (turn)    =         13         Within R-sq.    =     0.4035
Number of clusters (trunk)   =         13         Root MSE        =  2284.8937

                            (Std. Err. adjusted for 13 clusters in turn trunk)
------------------------------------------------------------------------------
             |               Robust
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      weight |   5.688144   2.837967     2.00   0.068    -.4952552    11.87154
      length |  -44.21191   87.68177    -0.50   0.623    -235.2541    146.8302
------------------------------------------------------------------------------

Absorbed degrees of freedom:
---------------------------------------------------------------+ 
 Absorbed FE |  Num. Coefs.  =   Categories  -   Redundant     | 
-------------+-------------------------------------------------|
        turn |            0              13             13 *   | 
       trunk |            0              13             13 *   | 
---------------------------------------------------------------+
* = fixed effect nested within cluster; treated as redundant for DoF computation

```

--------------------------------

### Absorb Combined Fixed Effects

Source: https://scorreia.com/software/reghdfe/faq.html

Absorb fixed effects from the combination of two variables using a single command. This is an alternative to creating a new grouped variable.

```stata
. egen cou_year = group(country year)
. reghdfe y x1 x2 , absorb(cou_year)
```

```stata
. reghdfe y x1 x2 , absorb(country#year)
```

--------------------------------

### Absorb Combined Fixed Effects with Clustered SE

Source: https://scorreia.com/software/reghdfe/faq.html

Absorb fixed effects from the combination of two variables and cluster standard errors at the same level.

```stata
. reghdfe y x1 x2 , absorb(country#year) vce(cluster country#year)
```
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