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It may sound like I am ducking the question - but I think it largely depends on your goals and what you want to accomplish in your career. They are very different tools that require very different levels of investment. Very hard to compare. It may be more accurate to compare the PE to the GRE, the results open doors but in the end are only as valuable as you make them.
If you do not want to do research in the near future or teach at the collegiate level and are looking to eventually run your own company - then the PE is probably more valuable.
If you want to teach and do not plan to work in industry - then grad school is probably more valuable.
The simplest advice I can provide is that you should definitely take the FE (minimal investment in time and money). If you are in a position to take the PE, then do it. The closer you are to school the easier the FE is - it gets harder as all those school concepts slip into the foggy past. The PE is similar, though requires some time separation from school to meet requirements. Again for relatively low investment in time and money you receive a certification that can be valid for your entire career. I have heard similar advice on the GRE - take it if there is the slightest chance that you would like to go to grad school later. Just because you take the test doesn't mean you are locked into anything.
My personal experience is that the PE was very useful when changing careers since it provided some validation to my claim of having good engineering knowledge though my work history might not have shown it. I did not get a pay bump - if you are taking the test solely for the pay confirm with your employer. Also, look into how applicable the PE is to your field. For example, it is very useful for civil engineers or others that might be doing government work requiring a licensed signature. In my field I have only used my stamp once and even after that there is little value placed on my certification.
My dad did not take the tests and eventually wanted to start his own firm - which would require a license. So after working in his field for 20 years he needed to take these tests to prove his knowledge. No matter how good you are at your job, imagine studying for a standardized test after not doing any schoolwork for 20 years. He spend a lot of time on it. I hit the books after only 5 years on the job and it was still a sizable project.
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Thanks a lot! Your post was very informative and helped! I was definitely planning on taking the FE anyway, but now I am definitely going to do some research on employers.
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