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sergiocorreia / ivreghdfe

Run IV/2SLS with many levels of fixed effects (i.e. ivreg2+reghdfe)
MIT License
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FE in first stage of ivreghdfe? #26

Closed fedehuneeus closed 4 years ago

fedehuneeus commented 4 years ago

Hi Sergio, Wanted to double check whether the first stage of ivreghdfe includes the same absorb() variables from the second stage, ie, same included instruments. Couldn't find this from the output in stata, also didn't find the option in the help of the command. Thanks!

sergiocorreia commented 4 years ago

It does. Since ivreghdfe is almost the same as ivreg2, you can verify by e.g. running ivreg2 with the first option and reghdfe on the first stage:

sysuse auto
ivreghdfe price weight (length=gear) , a(turn) first
reghdfe length gear weight, a(turn)
fedehuneeus commented 4 years ago

Awesome. Thanks!