-
Notifications
You must be signed in to change notification settings - Fork 56
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
Standard errors attached to incorrect coefficients #94
Comments
AFAIK, this is because the betas are computed with If I compute inv(X'X) first and then use that to select the columns used to call |
I just added a commit aimed at tackling this (it also fixes some corner-case bugs, and tries to be more methodical when dealing with omitted variables) Let me know how it goes.. |
Great. Are you going to release, or should I install from GitHub? |
GitHub. Release schedule on SSC is slower so until not much happens in terms of commits + issues), I will keep the old version there. |
I think this fixed all my tables. Thanks! |
Note that
reghdfe y i.w##i.unity x, a(unity)
omits1bn.w
because of collinearity, but wrongly attaches the standard error of1.w#1.unity
to it.Reversing the order of the interaction, as in
reghdfe y i.unity##i.w x, a(unity)
, sidesteps the issue.(This contrived example is a reduced testcase of a more meaningful regression I run that uses triple interactions.)
The text was updated successfully, but these errors were encountered: