Full calculation of R^2 when using ivreghdfe and reghdfe

[Edmondo Ricci]

In ivreghdfe and reghdfe, although it's fast to just absorb fixed effects, if I add them into absorb(), they are not calculated into R^2. Only when I include fixed effects as i.FE, they are included in R^2. So when I just absorb them, it appears as if R^2 is very small when it is actually large.

Is there any way to put fixed effect into absorb() so that the speed is fast, while at the same time calculate R^2 including those fixed effects?

[Phil Bromiley]

Not that I know of. I suppose you can always use predict and then calculate the r-square yourself.