However, as mentioned above, if a fixed effect variable is also a cluster variable (or is nested within a cluster variable), we do not consider it when computing the absorbed degrees of freedom. In general, we reduce the degrees of freedom by the number of fixed effects that are estimated by reghdfe. This adjustment depends on the absorbed degrees of freedom of the model (the degrees of freedom lost by controlling for the fixed effects). When reghdfe computes the VCE matrix, it multiplies the asymptotic VCE matrix by a small sample adjustment (see the formula for “q” here).

To disable the adjustment, see the dof(.) section of the help file. * = fixed effect nested within cluster treated as redundant for DoF computation reghdfe price weight length, absorb(turn trunk) vce(cluster turn) (output omitted)Ībsorbed FE | Num. If this option is triggered, you will see the message “fixed effect nested within cluster treated as redundant for DoF computation” in the second output table of reghdfe. state but will not use the number of counties when computing the absorbed degrees of freedom. Whenever this happens, reghdfe will avoid applying a double penalty to the standard errors: it will continue to cluster by e.g. For instance, if we have state–clustered standard errors and county–level fixed effects, or with clustering by year and monthly fixed effects. ) and in absorb(.) or-more generally-if a cluster variable is coarser than a fixed effect variable. What does “fixed effect nested within cluster” means?Ī fixed effect is “nested within cluster” if the same variable is used in vce(cluster. In my model the number of FEs varies by observation.How can I combine reghdfe with esttab or estout?.Why are there four R2s? Which one should I use?.Can I compute the transformations only once? I want to repeat a regression with different outcome variables.

Can I absorb the fixed effects formed by the combination of two variables?.

Can I use reghdfe with multi-way clustering but without fixed effects?.

What does “fixed effect nested within cluster” means?.Index Install Quickstart FAQ Cite Help Help+

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