Title: REGXFE: Stata module to fit a linear high-order fixed-effects model
Abstract: regxfe estimates a linear high order fixed effect, allowing for up to 7 fixed effects. It allows for the use of weights, robust and one way clustered standard errors. Robust and cluster errors are estimated based on the same assumptions as in the regress and areg commands. The command is based on a pre-transformation of the variables in order to absorb the effect of the FE variables of all dependent and independent variables before the model is estimated. The transformed dataset can be saved as a separate file. The degrees of freedom to estimate the standard errors are corrected using an approximation of the number of non-identifiable parameters, applying a modified Abowd, Creecy, and Kramarz (2002) algorithm.
Publication Year: 2016
Publication Date: 2016-01-01
Language: en
Type: article
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Cited By Count: 1
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