pyreghdfe 0.2.1
Python implementation of Stata's reghdfe for high-dimensional fixed effects regression
Requires Python: >=3.9
Keywords: econometrics, fixed-effects, regression, hdfe, panel-data

# PyRegHDFE

[![Python Version](https://img.shields.io/pypi/pyversions/pyreghdfe)](https://pypi.org/project/pyreghdfe/)
[![PyPI Version](https://img.shields.io/pypi/v/pyreghdfe)](https://pypi.org/project/pyreghdfe/)
[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
[![Downloads](https://img.shields.io/pypi/dm/pyreghdfe)](https://pypi.org/project/pyreghdfe/)

> **Python implementation of Stata's `reghdfe` for high-dimensional fixed effects regression**

PyRegHDFE is a fast and efficient Python package that replicates the functionality of Stata's popular `reghdfe` command. It provides high-dimensional fixed effects estimation, cluster-robust standard errors, and seamless integration with pandas DataFrames.

## 🚀 Quick Installation

```bash
pip install pyreghdfe
```

## 📖 Quick Start

```python
import pandas as pd
import numpy as np
from pyreghdfe import reghdfe

# Create sample data
np.random.seed(42)
n = 1000
data = pd.DataFrame({
    'wage': np.random.normal(10, 2, n),
    'experience': np.random.normal(5, 2, n),
    'education': np.random.normal(12, 3, n),
    'firm_id': np.random.choice(range(100), n),
    'year': np.random.choice(range(2010, 2020), n)
})

# Run regression with firm fixed effects
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id']
)

# Display results
print(result.summary())
```

## 📋 Key Features

- ✅ **High-dimensional fixed effects** - Efficiently absorb multiple fixed effect dimensions
- ✅ **Cluster-robust standard errors** - Support for one-way and multi-way clustering  
- ✅ **Weighted regression** - Handle sampling weights and frequency weights
- ✅ **Singleton dropping** - Automatically handle singleton groups
- ✅ **Fast computation** - Optimized algorithms for large datasets
- ✅ **Stata compatibility** - Results match Stata's `reghdfe` command
- ✅ **Pandas integration** - Seamless DataFrame compatibility
- ✅ **Flexible output** - Rich statistical results and summary tables

## 🔧 Usage Examples

### 1. Multiple Fixed Effects

```python
# Regression with firm and year fixed effects
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id', 'year']  # Multiple dimensions
)
print(result.summary())
```

### 2. Cluster-Robust Standard Errors

```python
# One-way clustering
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id'],
    cluster=['firm_id']  # Cluster by firm
)

# Two-way clustering
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id'],
    cluster=['firm_id', 'year']  # Cluster by firm and year
)
```

### 3. Weighted Regression

```python
# Add weights to your data
data['weight'] = np.random.uniform(0.5, 2.0, len(data))

# Run weighted regression
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id'],
    weights='weight'
)
```

### 4. OLS Regression (No Fixed Effects)

```python
# Simple OLS regression
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=None  # No fixed effects
)
```

## 📊 Working with Results

### Accessing Coefficients and Statistics

```python
result = reghdfe(data=data, y='wage', x=['experience', 'education'], fe=['firm_id'])

# Get coefficients
coefficients = result.coef
print("Coefficients:", coefficients)

# Get standard errors
std_errors = result.se
print("Standard Errors:", std_errors)

# Get t-statistics and p-values
t_stats = result.tstat
p_values = result.pvalue
print("T-statistics:", t_stats)
print("P-values:", p_values)

# Get confidence intervals
conf_int = result.conf_int()
print("95% Confidence Intervals:", conf_int)

# Get R-squared
print(f"R-squared: {result.rsquared:.4f}")
print(f"Adjusted R-squared: {result.rsquared_adj:.4f}")
```

### Summary Statistics

```python
# Full regression summary
print(result.summary())

# Detailed summary with additional statistics
print(result.summary(show_dof=True))
```

## ⚙️ Advanced Configuration

### Custom Absorption Options

```python
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id'],
    absorb_tolerance=1e-10,  # Higher precision for absorption
    drop_singletons=True,    # Drop singleton groups
    absorb_method='lsmr'     # Alternative solver
)
```

### Different Covariance Types

```python
# Robust standard errors (default)
result = reghdfe(
    data=data, 
    y='wage', 
    x=['experience'], 
    fe=['firm_id'], 
    cov_type='robust'
)

# Clustered standard errors
result = reghdfe(
    data=data, 
    y='wage', 
    x=['experience'], 
    fe=['firm_id'], 
    cov_type='cluster', 
    cluster=['firm_id']
)
```

## 🔄 Comparison with Stata

This package aims to replicate Stata's `reghdfe` command. Here's how the syntax translates:

**Stata:**
```stata
reghdfe wage experience education, absorb(firm_id year) cluster(firm_id)
```

**Python (PyRegHDFE):**
```python
result = reghdfe(
    data=data,
    y='wage',
    x=['experience', 'education'],
    fe=['firm_id', 'year'],
    cluster=['firm_id']
)
```

## 🌐 Integration Options

This package is **actively maintained** as a standalone library. For users who prefer a unified ecosystem with additional econometric and statistical tools, `reghdfe` functionality is also available through:

- **[StatsPAI](https://github.com/brycewang-stanford/StatsPAI/)** - Comprehensive Stats + Econometrics + ML + AI + LLMs toolkit

## 🔗 Related Projects

- **[StatsPAI](https://github.com/brycewang-stanford/StatsPAI/)** - StatsPAI = Stats + Econometrics + ML + AI + LLMs  
- **[PyStataR](https://github.com/brycewang-stanford/PyStataR)** - Unified Stata-equivalent commands and R functions in Python

## 📚 API Reference

### Main Function: `reghdfe()`

```python
reghdfe(data, y, x, fe=None, cluster=None, weights=None, 
        cov_type='robust', absorb_tolerance=1e-8, 
        drop_singletons=True, absorb_method='lsmr')
```

**Parameters:**
- `data` (DataFrame): Input data
- `y` (str): Dependent variable name
- `x` (list): List of independent variable names
- `fe` (list, optional): List of fixed effect variable names
- `cluster` (list, optional): List of clustering variable names
- `weights` (str, optional): Weight variable name
- `cov_type` (str): Covariance type ('robust', 'cluster')
- `absorb_tolerance` (float): Tolerance for fixed effect absorption
- `drop_singletons` (bool): Whether to drop singleton groups
- `absorb_method` (str): Absorption method ('lsmr', 'lsqr')

**Returns:**
- `RegressionResults`: Object containing regression results

### Results Object

The `RegressionResults` object provides:
- `.coef`: Coefficients
- `.se`: Standard errors
- `.tstat`: T-statistics
- `.pvalue`: P-values
- `.rsquared`: R-squared
- `.rsquared_adj`: Adjusted R-squared
- `.conf_int()`: Confidence intervals
- `.summary()`: Formatted summary table

## 🛠️ Requirements

- Python ≥ 3.9
- NumPy ≥ 1.20.0
- SciPy ≥ 1.7.0
- Pandas ≥ 1.3.0
- PyHDFE ≥ 0.1.0
- Tabulate ≥ 0.8.0

## 🤝 Contributing

We welcome contributions! Please feel free to:

- **Report bugs** or request features via [GitHub Issues](https://github.com/brycewang-stanford/pyreghdfe/issues)
- **Submit pull requests** for improvements
- **Share your use cases** and examples
- **Improve documentation** and add examples

### Development Setup

```bash
git clone https://github.com/brycewang-stanford/pyreghdfe.git
cd pyreghdfe
pip install -e ".[dev]"
pytest tests/
```

## 📄 License

This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.

## 🙋‍♂️ Support

- **Documentation**: [GitHub Repository](https://github.com/brycewang-stanford/pyreghdfe)
- **Issues**: [GitHub Issues](https://github.com/brycewang-stanford/pyreghdfe/issues)
- **Discussions**: [GitHub Discussions](https://github.com/brycewang-stanford/pyreghdfe/discussions)

---

⭐ **This package is actively maintained.** If you find it useful, please consider giving it a star on GitHub!

**Questions, bug reports, or feature requests?** Please open an issue on [GitHub](https://github.com/brycewang-stanford/pyreghdfe/issues).