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[BUG] Incorrect fixed effects with `cluster()` about ivreghdfe HOT 3 OPEN

sergiocorreia commented on August 10, 2024

[BUG] Incorrect fixed effects with `cluster()`

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Comments (3)

mcaceresb commented on August 10, 2024

FYI it's different each run and I'm not sure what's causing the sort order of the saved FEs to change. This also causes xbd and resid to change, if they are used.

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mcaceresb commented on August 10, 2024

@sergiocorreia Actually they're just wrong, sorry for the multiple messages:

clear
sysuse auto, clear
ivreghdfe price (mpg = turn), absorb(a1=rep78) cluster(rep78)
ivreghdfe price (mpg = turn), absorb(a2=rep78) cluster(rep78)
reghdfe mpg turn, absorb(rep78) resid
predict mpghat, xbd
reghdfe price mpghat, absorb(a3=rep78) cluster(rep78)
gen diff1 = reldif(a1, a3)
gen diff2 = reldif(a2, a3)
sum diff?

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
       diff1 |         74    93.00652    119.3723          0   300.4831
       diff2 |         74    89.67282    112.5629          0   285.0808

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sergiocorreia commented on August 10, 2024

For some reason, the problem is solved when pre-sorting by the fixed effects before the run:

sysuse auto, clear
sort rep78

ivreghdfe price turn, absorb(a1=rep78) cluster(rep78)
ivreghdfe price turn, absorb(a2=rep78) cluster(rep78)
reghdfe price turn, absorb(a3=rep78)  cluster(rep78)
replace a3 = a3 + _b[_cons]

gen diff1 = reldif(a1, a3)
gen diff2 = reldif(a2, a3)
sum diff?

But need to delve a bit more into why the sorting gets broken.

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