help for group3hdfe ()

Title

group3hdfe - Computes the number of restrictions in a linear regression model with three high dimensional fixed effects.

Syntax

group3hdfe varname1 varname2 varname3, [options]

Description

This command calculates the number of restrictions needed to ensure identifiability of the fixed effects
in a linear regression model with three high dimensional fixed effects (3hdfe). This number of restrictions can be used
to compute the exact degrees of freedom of a regression with 3hdfe. With the option largest the command can be used to identify
a subset of the data. If estimation is restricted to this subset then the estimates of the fixed effects are comparable up to an additive scalar factor.

Options

initi(value) initj(value) initk(value) Allows
the user to specify the first two restrictions to apply to the data. initi is for the first variable, initj is for the
second variable and initk is for the third variable. The user must select exactly two initial values and these
have to be valid values of the selected variables.

largest (new varname) Creates a new variable with an indicator for membership
in a subset of the data. If estimation is restricted to this subset then the estimates of the fixed effects are comparable
up to an additive scalar factor.

verbose Provides more information while the algorithm is running.

Examples

Example 1:
Compute the number of restrictions in the data and estimate a regression

. group3hdfe i j k

Example2:

Identify a subset of the data where estimates of the fixed effects are comparable

. group3hdfe i j k, largest(big)

. keep if big==1

Author

Paulo Guimaraes, BPlim, Banco de Portugal, Portugal.

Email: pguimaraes2001@gmail.com

Comments welcome!

Dependencies

This program requires the moremata set of Mata functions written by Ben Jann

Reference

If you use this program in your research cite:

Paulo Guimaraes and Pedro Portugal. "A Simple Feasible Alternative Procedure to Estimate Models with
High-Dimensional Fixed Effects", Stata Journal, 10(4), 628-649, 2010.

Also see

reghdfe (if installed).