Hi all,

I'm using Stata 12 and estimating a triple diff-in-diff estimator using

I have three dimensions to my data: groups, countries and time. In other words I have a panel (unbalanced) that varies by groups and countries. I am exploiting exogenous variation within groups across time so I require group-time fixed effects for my estimates. I was particularly drawn to this package because it allows for high dimension fixed effects and two-way clustered standard errors.

I do not care about retrieving actual estimates for the fixed effects, only that they be implemented so I ensure I am estimating my coefficient of interest off of exogenous variation.

So my code looks something like this:

I have used

After updating, when I run a regression with the above combination of fixed effects and two-way clustering, I get a note that says the following:

I'm confused about 2 things that I hoped someone could clarify:

I have tried to be as comprehensive as possible with this question, but please ask me if you require further information. Thank you.

I'm using Stata 12 and estimating a triple diff-in-diff estimator using

**reghdfe**from SSC -- a user-written generalization of**areg**for multiple level fixed effects regressions. You can read more on**reghdfe**here if it interests you: http://www.statalist.org/forums/foru...ailable-on-ssc.**Some context:**I have three dimensions to my data: groups, countries and time. In other words I have a panel (unbalanced) that varies by groups and countries. I am exploiting exogenous variation within groups across time so I require group-time fixed effects for my estimates. I was particularly drawn to this package because it allows for high dimension fixed effects and two-way clustered standard errors.

I do not care about retrieving actual estimates for the fixed effects, only that they be implemented so I ensure I am estimating my coefficient of interest off of exogenous variation.

So my code looks something like this:

Code:

reghdfe outcome main_var [pw = weight], absorb(year#group country#group year#country) vce(cluster group country)

**My problem:**I have used

**reghdfe**for some time now but never checked SSC for any updates. Today I checked and noticed some had been done so I updated the package.After updating, when I run a regression with the above combination of fixed effects and two-way clustering, I get a note that says the following:

fixed effect nested within cluster; treated as redundant for DoF computation

- why are my fixed effects redundant and yet they weren't treated as such with the old version?
- why are my standard errors much smaller now?

I have tried to be as comprehensive as possible with this question, but please ask me if you require further information. Thank you.

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