f test following reghdfe for joint significance of individual fixed effects

[holy skirt]

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!

[Song Yoon]

I have the same problem. Did you fix the problem?