binscatter2

Overview | Motivation | Installation | Usage | Benchmarks | To-Do | Acknowledgements | License

Faster binned scatterplots in Stata with a few new bells and whistles

version 0.22 29jul2019

Overview

binscatter2 is a program for producing binned scatterplots in Stata. It inherits the syntax and functionality of the excellent binscatter package, but runs substantially faster for big datasets (see benchmarks). In addition, binscatter2 offers a handful of new features: the ability to overlay additional information about the conditional probability distribution (e.g. quantile intervals), an alternative procedure to adjust for controls suggested by Cattaneo et al. (2019), additional options for fit lines and saving, and multi-way fixed effects.

Motivation

Binned scatterplots are a convenient, non-parametric method to visualize conditional expectation functions. They are useful for examining the relationship between variables, possibly conditional on a set of covariates and/or fixed effects. Michael Stepner has provided a wonderful slide deck describing binned scatterplots on his website, available here.

Anyone who has used binscatter on a large dataset can appreciate that it takes a while to run. The original binscatter program is extremely well-written and was very efficient when it was written; however, recent improvements made possible by the Stata program gtools have allowed several of the operations underlying binscatter to be accomplished much more efficiently, as demonstrated in the benchmarks below. When working with data involving tens or hundreds of millions of observations, binscatter2 runs between three and eight times faster than binscatter, with the largest relative performance gains on very large datasets.

In addition, binscatter2 contains a handful of additional new features intended to enhance the functionality of binscatter. For one, binscatter now allows quantile intervals to be overlaid on top of the graph. This allows the user to gauge variation in the conditional distribution of y given x.

New Features

In addition to substantial performance improvements for large datasets (see benchmarks), binscatter2 adds a few new features to binscatter. In particular:

• Multi-way fixed effects. If reghdfe is installed, multi-way fixed effects can be specified in the absorb() option.
• Visualize conditional variance and quantiles. Overlay quantiles of the sample distribution on top of the means/medians within each bin, providing more information on the shape of the conditional distribution of y given x.
• Flexible save commands. Save scatter points out to .dta files and also choose to omit the do-file created by savedata() with the nodofile option.
• More fit line options. Exponential and logarithmic fits, with higher-order polynomials coming soon.
• Alternative covariate adjustment procedure. Implements the suggested procedure described in Cattaneo et al. (2019) to control for covariates without residualizing y and x with respect to a vector of controls/fixed effects with the new option altcontrols.

Installation

There are two options for installing binscatter2. The only prerequisite is the gtools command, which can be installed from Github or the SSC repository.

1. The most recent version can be installed from Github with the following Stata command:

ssc install gtools
net install binscatter2, from("https://raw.githubusercontent.com/mdroste/stata-binscatter2/master/")

2. A ZIP containing the program can be downloaded and manually placed on the user's adopath from Github.

This project will be submitted to the SSC repository very soon.

Usage

Complete internal documentation is provided with the installation and can be accessed by typing:

help binscatter2

The basic syntax and usage of binscatter2 is inherited from binscatter and should be familiar to existing users of that program.

This repository includes a do-file, check.do, that provides a number of checks to verify the functionality of each option within binscatter2 and demonstrates equivalence to binscatter for options shared by both programs. The file check_speed.do runs Monte Carlo simulations that were used in the benchmark section of this readme.

Benchmarks

Todo

The following items will be addressed soon:

• Fix higher-order polynomial fit lines
• Save out quantile intervals when using savedata() option
• More aesthetic options on quantiles() option
• Comparison against binsreg

Acknowledgements

Binscatter2 builds extensively on binscatter , developed by the illustrious Michael Stepner and Jessica Laird.

In addition, binscatter2 would certainly not have been possible without gtools by Mauricio Caceres Bravo, which in turn would not have happened without ftools, developed by Sergio Correa.

The alternative covariate adjustment procedure (enabled with the option altcontrols) was formalized by Cattaneo et al. (2019).

License

binscatter2 is MIT-licensed.