{smcl}
{.-}
help for {cmd:group3hdfe} {right:()}
{.-}
{title:Title}
group3hdfe - Computes the number of restrictions in a linear regression model with three high dimensional fixed effects.
{title:Syntax}
{p 8 15}
{cmd:group3hdfe} {it:{help varname1}} {it:{help varname2}} {it:{help varname3}}, [{it:options}]
{p}
{title:Description}
{p} 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 {cmd: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.
{title:Options}
{p 0 4}{cmd:initi}{cmd:(}{it:value}{cmd:)} {cmd:initj}{cmd:(}{it:value}{cmd:)} {cmd:initk}{cmd:(}{it:value}{cmd:)} Allows
the user to specify the first two restrictions to apply to the data. {cmd:initi} is for the first variable, {cmd:initj} is for the
second variable and {cmd: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.
{p 0 4} {cmd:largest (}{it:new varname}{cmd:)} 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.
{p 0 4}{cmdab:verb:ose} Provides more information while the algorithm is running.
{title:Examples}
Example 1:
Compute the number of restrictions in the data and estimate a regression
{p 8 16}{inp:. group3hdfe i j k}{p_end}
Example2:
Identify a subset of the data where estimates of the fixed effects are comparable
{p 8 16}{inp:. group3hdfe i j k, largest(big)} {p_end}
{p 8 16}{inp:. keep if big==1} {p_end}
{title:Author}
{p}
Paulo Guimaraes, BPlim, Banco de Portugal, Portugal.
{p}
Email: {browse "mailto:pguimaraes2001@gmail.com":pguimaraes2001@gmail.com}
Comments welcome!
{title:Dependencies}
This program requires the {help moremata} set of Mata functions written by Ben Jann
{title: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.
{title:Also see}
{p 0 21}
{help reghdfe} (if installed).
{p_end}