I am having problem figuring out the correct degree of freedom (df) from -reghdfe- results. I am running -reghdfe- using pooled individual-level data across years with absorbing multiple fixed effects (e.g. time, state, industry, etc). I am trying to do a F-test of no pre-trend, and need df of N-K, but I get confused on the df reported from -reghdfe-.
My naïve thought is that e(N) = e(df_r) + e(df_m) + absorbed df. Am I wrong about how df is calculated in -reghdfe- ? In reported data, I find, e(df_r) = 31, and e(df_m) = 67, e(df_a) = 6433, and all these df do not sum up to e(N) = 411418. Any help would be appreciated! Thank you!
Below is the reported ereturn list and the table results.
Code:
scalars:
e(report_constant) = 1
e(converged) = 1
e(ic) = 6
e(sumweights) = 643393987.7511139
e(r2_a_within) = .0704817963078309
e(r2_a) = .3799237769984229
e(r2_within) = .0706355863023422
e(r2) = .3897671179698056
e(ll_0) = -1795488.799942529
e(ll) = -1780419.720321791
e(F) = .
e(rmse) = 18.47805467413722
e(mss) = 88298809.44856453
e(rss) = 138243670.3493461
e(tss_within) = 148750768.0645063
e(tss) = 226542479.7979107
e(df_m) = 67
e(df_r) = 31
e(rank) = 67
e(N) = 411418
e(N_full) = 411672
e(num_singletons) = 254
e(drop_singletons) = 1
e(df_a_nested) = 32
e(df_a_redundant) = 269
e(df_a_initial) = 6702
e(df_a) = 6433
e(N_hdfe_extended) = 4
e(N_hdfe) = 4
e(N_clust1) = 32
e(N_clustervars) = 1
e(N_clust) = 32Code:
HDFE Linear regression Number of obs = 411,418
Absorbing 4 HDFE groups F( 67, 31) = .
Statistics robust to heteroskedasticity Prob > F = .
R-squared = 0.3898
Adj R-squared = 0.3799
Within R-sq. = 0.0706
Number of clusters (state_code_census) = 32Root MSE = 18.4781
(Std. Err. adjusted for 32 clusters in state_code_census)
--------------------------------------------------------------------------------
| Robust
re_caring_wo~M | Coef. Std. Err. t P>|t| [95% Conf. Interval]
---------------+----------------------------------------------------------------
years_23 |
1 | .9919705 .3724542 2.66 0.012 .2323452 1.751596
2 | 1.598075 .4209958 3.80 0.001 .7394489 2.456702
3 | 1.851101 .5539009 3.34 0.002 .7214124 2.980789
4 | 1.116223 .5319318 2.10 0.044 .0313412 2.201105
5 | 2.542907 .5741966 4.43 0.000 1.371825 3.713988
6 | 1.233233 .4338037 2.84 0.008 .3484844 2.117981
7 | 1.496063 .461687 3.24 0.003 .5544461 2.43768
8 | .9271761 .417414 2.22 0.034 .0758546 1.778498
9 | .7132363 .4386013 1.63 0.114 -.1812968 1.607769
10 | -.0872098 .4454745 -0.20 0.846 -.9957611 .8213415
11 | 2.082407 .4088558 5.09 0.000 1.24854 2.916274
12 | 2.092709 .5877807 3.56 0.001 .8939223 3.291496
13 | 1.957509 .4706451 4.16 0.000 .9976224 2.917396
14 | .9445423 .5272858 1.79 0.083 -.1308642 2.019949
15 | 1.241498 .5292371 2.35 0.026 .1621121 2.320884
16 | .5044626 .4324811 1.17 0.252 -.3775884 1.386514
17 | .6128867 .6191473 0.99 0.330 -.6498726 1.875646
18 | -.5033032 .4995753 -1.01 0.322 -1.522194 .5155873
19 | .5111114 .4870344 1.05 0.302 -.4822018 1.504425
20 | .4739347 .2758336 1.72 0.096 -.0886316 1.036501
21 | .4482408 .3361083 1.33 0.192 -.2372566 1.133738
24 | .2357569 .2252456 1.05 0.303 -.2236345 .6951482
25 | -.4283681 .2676664 -1.60 0.120 -.9742772 .1175411
26 | -.5689729 .2627846 -2.17 0.038 -1.104926 -.0330202
27 | .0488333 .3822994 0.13 0.899 -.7308714 .8285381
28 | -.3546079 .255738 -1.39 0.175 -.8761891 .1669733
29 | .1542909 .2606191 0.59 0.558 -.3772452 .685827
30 | -.5390402 .2975555 -1.81 0.080 -1.145909 .0678282
31 | -.3836032 .3365146 -1.14 0.263 -1.069929 .3027228
32 | -.1585311 .3447817 -0.46 0.649 -.861718 .5446559
33 | -.6677153 .3043337 -2.19 0.036 -1.288408 -.0470226
34 | -.2069282 .3688007 -0.56 0.579 -.9591021 .5452457
35 | -.3109342 .3688873 -0.84 0.406 -1.063285 .4414165
36 | -.3936873 .3332719 -1.18 0.246 -1.0734 .2860252
37 | -.5215181 .2906202 -1.79 0.082 -1.114242 .0712058
38 | -.6520205 .2759389 -2.36 0.025 -1.214802 -.0892393
39 | -.719748 .2384159 -3.02 0.005 -1.206001 -.2334955
40 | -.8269267 .2480615 -3.33 0.002 -1.332852 -.3210019
41 | -.8462573 .2063203 -4.10 0.000 -1.26705 -.4254644
42 | -.9774718 .1983986 -4.93 0.000 -1.382108 -.5728353
43 | -.6844414 .2327311 -2.94 0.006 -1.1591 -.2097831
44 | -.7927493 .2247374 -3.53 0.001 -1.251104 -.3343945
45 | -.8344636 .2860695 -2.92 0.007 -1.417906 -.251021
46 | -.9340013 .2908262 -3.21 0.003 -1.527145 -.3408573
47 | -.7944 .4395029 -1.81 0.080 -1.690772 .1019722
48 | -.6527734 .2688042 -2.43 0.021 -1.201003 -.1045435
49 | -.9472554 .3183957 -2.98 0.006 -1.596628 -.297883
50 | -.7739992 .2552812 -3.03 0.005 -1.294649 -.2533497
51 | -.6591308 .2749931 -2.40 0.023 -1.219983 -.0982786
52 | -.7478838 .2499912 -2.99 0.005 -1.257744 -.2380234
53 | -.9599688 .2617877 -3.67 0.001 -1.493888 -.4260493
54 | -1.261569 .3325019 -3.79 0.001 -1.939711 -.5834266
55 | .2361319 .6036391 0.39 0.698 -.9949982 1.467262
56 | 0 (omitted)
|
age | -.0488436 .0341683 -1.43 0.163 -.1185304 .0208431
age2 | .0005306 .0003901 1.36 0.184 -.0002651 .0013263
edu_ref | 1.964396 .037998 51.70 0.000 1.886899 2.041894
lnwage | .0459319 .0261057 1.76 0.088 -.0073111 .0991749
usual_hours | .0938964 .0050051 18.76 0.000 .0836883 .1041045
nchild | -.0189383 .0887455 -0.21 0.832 -.1999361 .1620594
dummy_youngkid | .1336484 .1054411 1.27 0.214 -.0814002 .348697
|
race_ref |
2 | -5.101245 .6336882 -8.05 0.000 -6.393661 -3.80883
3 | -2.006494 .753452 -2.66 0.012 -3.54317 -.469819
4 | -2.752406 .4684655 -5.88 0.000 -3.707848 -1.796965
5 | -3.377558 .2411825 -14.00 0.000 -3.869453 -2.885663
|
2.workstat_ref | .272921 .2093059 1.30 0.202 -.1539612 .6998031
|
property_group |
2 | -.2092973 .3389107 -0.62 0.541 -.9005102 .4819155
3 | .339929 .1931255 1.76 0.088 -.0539531 .7338112
|
_cons | 32.52504 .5508157 59.05 0.000 31.40164 33.64844
--------------------------------------------------------------------------------
Absorbed degrees of freedom:
-----------------------------------------------------------+
Absorbed FE | Categories - Redundant = Num. Coefs |
-------------------+---------------------------------------|
state_code_census | 32 32 0 *|
year | 33 1 32 |
ind1990 | 235 1 234 |
ind1990#year | 6402 235 6167 ?|
-----------------------------------------------------------+
? = number of redundant parameters may be higher
* = FE nested within cluster; treated as redundant for DoF computationMichelle
0 Response to -reghdfe- and degree of freedom
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