How to absorb both firm and time dummies in fixed effects?

[Shuang Liu]

Dear all

I have a panel dataset. I want to control for both firm and month fixed effects in my OLS regression. The command I used is xi: areg dependent_variable independent_variables i.month, absorb(firm_identifier) robust cluster(firm_id). The problem is that Stata creates all the month dummies and report their coefficients in the output. This makes the program run slowly. I want Stata to absort month dummies too. How can I do that? Any help would be appreciated.

Regards
Shuang Liu

[Andrew Musau]

ssc install reghdfe
reghdfe depvar i.vars a(firm month) vce(firm)

[Shuang Liu]

Dear Andrew

Thank you very much.

Regards
Shuang