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st: new program -gpreg- for twoway fixed effects estimation


From   Johannes Schmieder <jfs2106@columbia.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: new program -gpreg- for twoway fixed effects estimation
Date   Thu, 9 Jul 2009 12:46:21 -0400

Dear Stata Users,
thanks to Kit Baum a new program -gpreg- is now available on the SSC server.
gpreg allows estimation of regressions with two dimensions of fixed
effects, e.g. worker and firm fixed effects, student and teacher, or
patient and doctor fixed effects. This program uses the new Guimaraes
& Portugal algorithm which, relative to similar programs, has the
advantage of being very memory efficient. It also calculates the
correct standard errors under the assumption that the error term is
homoskedastic and independently distributed.
If you use this program in your research please cite this program and the paper
Paulo Guimaraes, Pedro Portugal. "A Simple Feasible Alternative
Procedure to Estimate Models with High-Dimensional Fixed Effects", IZA
DP No. 3935, 2009.
Thanks to Paulo Guimaraes for testing and improving the program
(though of course I am responsible for all errors).
Comments are welcome!
Johannes Schmieder

~~~~~~~~~~~~~~~~~~~;\
Johannes F. Schmieder
Ph.D. Candidate
Department of Economics
Columbia University
jfs2106@columbia.edu
http://www.columbia.edu/~jfs2106/
~~~~~~~~~~~~~~~~~~~;\

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