This package estimates linear models with high dimensional categorical variables and/or instrumental variables.
Its objective is similar to the Stata command reghdfe
and the R function felm
. The package tends to be much faster than these two options.
Installation
The package is registered in the General
registry and so can be installed at the REPL with ] add FixedEffectModels
.
Syntax
using DataFrames, RDatasets, FixedEffectModels
df = dataset("plm", "Cigar")
reg(df, @formula(Sales ~ NDI + fe(State) + fe(Year)), Vcov.cluster(:State), weights = :Pop)
# =====================================================================
# Number of obs: 1380 Degrees of freedom: 32
# R2: 0.803 R2 Adjusted: 0.798
# F Statistic: 13.3382 pvalue: 0.001
# R2 within: 0.139 Iterations: 6
# Converged: true
# =====================================================================
# Estimate Std.Error t value Pr(>t) Lower 95% Upper 95%
# 
# NDI 0.00526264 0.00144097 3.65216 0.000 0.00808942 0.00243586
# =====================================================================

A typical formula is composed of one dependent variable, exogeneous variables, endogeneous variables, instrumental variables, and a set of highdimensional fixed effects.
dependent variable ~ exogenous variables + (endogenous variables ~ instrumental variables) + fe(fixedeffect variable)
Highdimensional fixed effect variables are indicated with the function
fe
. You can add an arbitrary number of high dimensional fixed effects, separated with+
. You can also interact fixed effects using&
or*
.For instance, to add state fixed effects use
fe(State)
. To add both state and year fixed effects, usefe(State) + fe(Year)
. To add stateyear fixed effects, usefe(State)&fe(Year)
. To add state specific slopes for year, usefe(State)&Year
. To add both state fixedeffects and state specific slopes for year usefe(State)*Year
.reg(df, @formula(Sales ~ Price + fe(State) + fe(Year))) reg(df, @formula(Sales ~ NDI + fe(State) + fe(State)&Year)) reg(df, @formula(Sales ~ NDI + fe(State)&fe(Year))) # for illustration only (this will not run here) reg(df, @formula(Sales ~ (Price ~ Pimin)))
To construct formula programatically, use
reg(df, Term(:Sales) ~ Term(:NDI) + fe(Term(:State)) + fe(Term(:Year))

Standard errors are indicated with the prefix
Vcov
.Vcov.robust() Vcov.cluster(:State) Vcov.cluster(:State, :Year)

The option
weights
specifies a variable for weightsweights = :Pop

The option
subset
specifies a subset of the datasubset = df.State .>= 30

The option
save
can be set to one of the following::residuals
to save residuals,:fe
to save fixed effects,true
to save both. You can access the result withresiduals()
andfe()

The option
method
can be set to one of the following::cpu
,:gpu
(see Performances below). 
The option
contrasts
specifies particular contrasts for categorical variables in the formula, e.g.df.YearC = categorical(df.Year) reg(df, @formula(Sales ~ YearC); contrasts = Dict(:YearC => DummyCoding(base = 80)))
Output
reg
returns a light object. It is composed of
 the vector of coefficients & the covariance matrix (use
coef
,coefnames
,vcov
on the output ofreg
)  a boolean vector reporting rows used in the estimation
 a set of scalars (number of observations, the degree of freedoms, r2, etc)
 with the option
save = true
, a dataframe aligned with the initial dataframe with residuals and, if the model contains high dimensional fixed effects, fixed effects estimates (useresiduals
orfe
on the output ofreg
)
Methods such as predict
, residuals
are still defined but require to specify a dataframe as a second argument. The problematic size of lm
and glm
models in R or Julia is discussed here, here, here here (and for absurd consequences, here and there).
You may use RegressionTables.jl to get publicationquality regression tables.
Performances
GPU
The package has support for GPUs (Nvidia) (thanks to Paul Schrimpf). This can make the package an order of magnitude faster for complicated problems.
First make sure that using CuArrays
works without issue. Then, estimate a model with method = :gpu
.
When working on the GPU, it is encouraged to set the floating point precision to Float32
with double_precision = false
, since it is usually much faster.
using FixedEffectModels
df = dataset("plm", "Cigar")
reg(df, @formula(Sales ~ NDI + fe(State) + fe(Year)), method = :gpu, double_precision = false)
Solution Method
Denote the model y = X β + D θ + e
where X is a matrix with few columns and D is the design matrix from categorical variables. Estimates for β
, along with their standard errors, are obtained in two steps:
y, X
are regressed onD
using the package FixedEffects.jl Estimates for
β
, along with their standard errors, are obtained by regressing the projectedy
on the projectedX
(an application of the Frisch WaughLovell Theorem)  With the option
save = true
, estimates for the high dimensional fixed effects are obtained after regressing the residuals of the full model minus the residuals of the partialed out models onD
using the package FixedEffects.jl
References
Baum, C. and Schaffer, M. (2013) AVAR: Stata module to perform asymptotic covariance estimation for iid and noniid data robust to heteroskedasticity, autocorrelation, 1 and 2way clustering, and common crosspanel autocorrelated disturbances. Statistical Software Components, Boston College Department of Economics.
Correia, S. (2014) REGHDFE: Stata module to perform linear or instrumentalvariable regression absorbing any number of highdimensional fixed effects. Statistical Software Components, Boston College Department of Economics.
Fong, DC. and Saunders, M. (2011) LSMR: An Iterative Algorithm for Sparse LeastSquares Problems. SIAM Journal on Scientific Computing
Gaure, S. (2013) OLS with Multiple High Dimensional Category Variables. Computational Statistics and Data Analysis
Kleibergen, F, and Paap, R. (2006) Generalized reduced rank tests using the singular value decomposition. Journal of econometrics
Kleibergen, F. and Schaffer, M. (2007) RANKTEST: Stata module to test the rank of a matrix using the KleibergenPaap rk statistic. Statistical Software Components, Boston College Department of Economics.