{smcl} {.-} help for {cmd:reghintfe} {right:()} {.-} {title:Title} reghintfe - Estimates a linear regression model with one interacted high dimensional fixed effect. {title:Syntax} {p 8 15} {cmd:reghintfe} {it:{help depvar}} [{it:{help indepvar}}] [{help if}] [{help in}] , {cmd:id1(}{it:{help varname}}{cmd:)} {cmd:intvar(}{it:{help varname}}{cmd:)} [{it:options}] {p 8 15} {title:Description} {p} This command estimates a linear regression model with one high-dimensional interacted fixed effect. The command makes use of the Frisch-Waugh-Lovell result to avoid computing the dummy variables and the interactions for the fixed effects. Because of this it can be used with a very large number of groups for the fixed effect. {title:Options} {p 0 4} {cmd:id1(}{it:{help varname}}{cmd:)} fixed effect variable. This option is required. {p 0 4} {cmd:intvar(}{it:{help varname}}{cmd:)} variables that interact with the fixed effect. This option is required. {p 0 4} {cmd:cluster(}{it:varname}{cmd:)} computes clustered standard errors. {p 0 4}{cmdab:verb:ose} gives more information during estimation. {title:Examples} Example 1: Estimates a model with interaction between a fixed effect i and the variable x3. Does the same as "regress y x1 x2 i.j##c.x3" {p 8 16}{inp:. regintfe y x1 x2, id1(j) intvar(x3)}{p_end} It creates two variables, __fe0 and __fe1. The variable __fe0 contains the estimates of the coefficients for the fixed effect and the variable __fe1 the estimates of the coefficients for the interaction between "j" and "x3". Example 2: Estimates a model with interaction between a fixed effect i and the variables x2 and x3. Standard errors are clustered on "j". Does the same as "regress y x1 i.j##c.x2 i.j##c.x3, cluster(j)" {p 8 16}{inp:. regintfe y x1, id1(j) intvar(x2 x3)} cluster(j) {p_end} Creates three variables, __fe0, __fe1 and __fe2. The variable __fe0 contains the estimates of the coefficients for the fixed effect, the variable __fe1 the estimates of the coefficients for the interaction between "j" and "x2" and the variable __fe2 the estimates of the coefficients for the interaction between "j" and "x3". {title:Author} {p} Paulo Guimaraes, Universidade do Porto, Portugal. {p} Email: {browse "mailto:pguimaraes@fep.up.pt":pguimaraes@fep.up.pt} Comments welcome! {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. {p_end}