2021-11-22

Indicating fixed effects with reghdfe is relatively straightforward if you use estfe. However, when you try to report the first stage of estimates from ivreghdfe with the savefirst (or savefprefix) option you’ll incorrectly indicate that you didn’t use the fixed effects that you passed to absorb().

Here’s an example using saveprefix:

clear all
sysuse auto
ivreghdfe price weight (length=gear_ratio), ///
  absorb(turn trunk)  ///
  savefprefix(m1)
estimates store m1

estfe m1* , labels(turn "Turn FE" trunk "Trunk FE")

esttab m1* , drop(c1) indicate(`r(indicate_fe)')

This gives the following, incorrect, output:

--------------------------------------------
                      (1)             (2)   
                   length           price   
--------------------------------------------
gear_ratio          3.502                   
                   (0.90)                   

weight             0.0160***        6.578   
                   (4.73)          (1.11)   

length                             -106.4   
                                  (-0.26)   

Turn FE                No             Yes   

Trunk FE               No             Yes   
--------------------------------------------
N                      65              65   
--------------------------------------------
t statistics in parentheses
* p<0.05, ** p<0.01, *** p<0.001

This is because savefprefix() is part of ivreg2 and so it doesn’t actually know about the contents of absorb() since they were differenced out of the data before it was passed to ivreg2. So you have to use estadd to add them in yourself.

clear all
sysuse auto
ivreghdfe price weight (length=gear_ratio), absorb(turn trunk) savefprefix(m1)
* put the ereturn stuff that estfe is looking for into locals
local absvars = e(extended_absvars)
local nabsvars = e(N_hdfe_extended)

estimates store m1

estimates restore m1length // length is the suffix from savefirst
* use estadd to post these results
estadd local extended_absvars = "`absvars'"
estadd local N_hdfe_extended = "`nabsvars'"
estimates store m1length

estfe m1* , labels(turn "Turn FE" trunk "Trunk FE")

esttab m1* , indicate(`r(indicate_fe)')

Now estfe correctly indicates the use of FE in the first stage.

--------------------------------------------
                      (1)             (2)   
                   length           price   
--------------------------------------------
gear_ratio          3.502                   
                   (0.90)                   

weight             0.0160***        6.578   
                   (4.73)          (1.11)   

length                             -106.4   
                                  (-0.26)   

Turn FE               Yes             Yes   

Trunk FE              Yes             Yes   
--------------------------------------------
N                      65              65   
--------------------------------------------
t statistics in parentheses
* p<0.05, ** p<0.01, *** p<0.001