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| 文件名: Stata Journal 2010 A simple feasible procedure to ?t models withhigh-dimensiona.pdf | |
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以前用areg来加入固定效应进行回归比较多，但是最近用的数据固定效应数目太多，性能良好的电脑进行运算依旧速度极慢，于是搜寻解决办法，发现reghdfe能有效解决这个问题。你是否还有更好的解决方案？欢迎大家积极讨论！附上作者发表在stata journal的介绍文章
作者本人Sergio Correia总结的这个命定的一些优点： It performs linear and instrumental variable regressions while absorbing for any number of fixed effects. reghdfe builts heavily on the packages reg2hdfe by Paulo Guimaraes and a2reg by Amine Ouazad. Details and examples are included in the help file, but key features include: Much faster than the alternatives (reg2hdfe, a2reg, ivreg2hdfe, felsdvreg, etc) in most scenarios. It's built in Mata and avoids some of the usual bottlenecks such as sorting the data every iteration or large memory consumption. Allows more than two sets of highly dimensional fixed effects (HDFE), using the same absorb() syntax as areg. Allows interactions of fixed effects: absorb(industry#year) Allows absorbing for interactions with categorical variables. For instance, absorb(i.industry##c.t) will include industry fixed effects, and a different time trend for each industry. Can run IV/2SLS regressions using either -ivregress- or -ivreg2- (if avaiable). Allows factor variable and time series in the varlists. In OLS regressions, it also reports FStats for the FEs (see option -nested-) as well as correlation between the fixed effects and xb. |
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