jwdid
Table of contents
Notes
- Based on: Wooldridge 2021, Wooldridge 2023.
- Program version (if available): v2.00 Paper Out
- Last checked: Nov 2024
Installation and options
ssc install jwdid, replace
ssc install hdfe, replace
Take a look at the help file:
help jwdid // dependency
Test the command
Please make sure that you generate the data using the script given here
Let’s try the basic jwdid command:
jwdid Y, ivar(id) time(t) gvar(gvar) never
which will should show this output:
WARNING: Singleton observations not dropped; statistical significance is biased (link)
(MWFE estimator converged in 2 iterations)
warning: missing F statistic; dropped variables due to collinearity or too few clusters
HDFE Linear regression Number of obs = 1,800
Absorbing 2 HDFE groups F( 236, 29) = .
Statistics robust to heteroskedasticity Prob > F = .
R-squared = 0.9999
Adj R-squared = 0.9999
Within R-sq. = 0.9996
Number of clusters (id) = 30 Root MSE = 1.0111
(Std. err. adjusted for 30 clusters in id)
---------------------------------------------------------------------------------
| Robust
Y | Coefficient std. err. t P>|t| [95% conf. interval]
----------------+----------------------------------------------------------------
gvar#t#c.__tr__ |
24 1 | -.3046101 .6300019 -0.48 0.632 -1.593109 .9838884
24 2 | -.6957401 .6009789 -1.16 0.256 -1.92488 .5333998
24 3 | .1275004 .8770109 0.15 0.885 -1.666188 1.921189
24 4 | -.1772073 .8058568 -0.22 0.827 -1.825369 1.470955
24 5 | -.8972072 .6524983 -1.38 0.180 -2.231716 .4373016
24 6 | -1.275086 .9782155 -1.30 0.203 -3.275761 .7255895
24 7 | -.8707661 .7651948 -1.14 0.264 -2.435765 .6942331
24 8 | -.3766007 .8382016 -0.45 0.657 -2.090915 1.337714
24 9 | -.1285843 1.224015 -0.11 0.917 -2.631975 2.374807
24 10 | .0283149 .7864521 0.04 0.972 -1.58016 1.63679
24 11 | -.3418546 1.044269 -0.33 0.746 -2.477625 1.793915
24 12 | -.7545786 .9622937 -0.78 0.439 -2.72269 1.213533
24 13 | -.3072581 .7502999 -0.41 0.685 -1.841794 1.227277
<OUTPUT TRUNCATED>
56 47 | -.8615277 .7908704 -1.09 0.285 -2.479039 .7559838
56 48 | -1.330157 .9825658 -1.35 0.186 -3.33973 .6794157
56 49 | -1.344657 1.225782 -1.10 0.282 -3.851662 1.162348
56 50 | -1.55924 .9140308 -1.71 0.099 -3.428643 .3101628
56 51 | -.6348989 .7432368 -0.85 0.400 -2.154989 .8851911
56 52 | -.4315613 1.2208 -0.35 0.726 -2.928377 2.065255
56 53 | -.0581789 .9713858 -0.06 0.953 -2.044886 1.928528
56 54 | -.0270778 .872869 -0.03 0.975 -1.812295 1.75814
56 56 | -.1821628 1.075073 -0.17 0.867 -2.380934 2.016609
56 57 | 7.908278 .8946205 8.84 0.000 6.078574 9.737983
56 58 | 17.82876 .804218 22.17 0.000 16.18395 19.47357
56 59 | 25.96505 .8421089 30.83 0.000 24.24275 27.68736
56 60 | 35.58904 1.318965 26.98 0.000 32.89146 38.28663
|
_cons | 46.05389 .2379501 193.54 0.000 45.56723 46.54056
---------------------------------------------------------------------------------
Absorbed degrees of freedom:
-----------------------------------------------------+
Absorbed FE | Categories - Redundant = Num. Coefs |
-------------+---------------------------------------|
id | 30 30 0 *|
t | 60 1 59 |
-----------------------------------------------------+
* = FE nested within cluster; treated as redundant for DoF computation
The command’s built-in graph option gives us:
estat event, estore(jw)
jwdid_plot
