st: New command -reg2hdfe-

["Guimaraes, Paulo" <guimaraes@moore.sc.edu>]

Thanks to Kit Baum, a new Stata command is available from the SSC archives:

-reg2hdfe-module to estimate a Linear Regression Model with two High Dimensional Fixed Effects
 
This command is another implementation of the Guimaraes&Portugal algorithm for estimation of a linear
regression model with high dimensional fixed effects. The command is similar to -gpreg- or -felsdvreg- but
it can handle much larger data sets and includes an option to compute clustered standard errors.
When dealing with large data sets you can in a first step remove the effect of the two high dimensional fixed effects
from every single variable and then in a second step implement fast estimations using alternative specifications.

Paulo Guimaraes


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