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  • f test following reghdfe for joint significance of individual fixed effects

    Hi all,

    I'd like to run a f-test to test joint significance of each fixed effects. For example, I'd like to obtain f-test stats for GVKEY effect and FYEAR effect separately when I run the following regression:

    reghdfe coverage size BTM , cluster(gvkey fyear) absorb(gvkey fyear)

    However, while reghdfe reports F-stats for overall effects, it does not report f-stats for gvkey/ fyear.

    I saw this related post:https://www.statalist.org/forums/for...mating-reghdfe where they suggest to use older version of reghdfe. However, whenever I run :
    reghdfe coverage size BTM , cluster(gvkey fyear) absorb(gvkey fyear) old
    stata reports the following error:

    (running historical version of reghdfe)
    map_init_keepsingletons(): 3499 assert_msg() not found
    <istmt>: - function returned error
    r(3499);

    so that i couldn't proceed.

    Could someone give me any suggestions? I've searched for long but couldn't find an answer. Thanks very much!
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