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  • How to run firm and industry*year fixed effects with reghdfe?

    In my dataset, TYPE2, INDC32, region2, and yr stand for firms, industry,region, and time.
    Normally, when running firm and industry*year fixed effects, I run the code

    Code:
    areg y x INDC32#yr, a(TYPE2)
    My senior friend consults me that I can do the same thing by using reghdfe

    Code:
    reghdfe y x, a(TYPE2 INDC32 yr)
    However, the result from the reghdfe code above is similar to

    Code:
    reghdfe y x, a(region2 INDC32 yr)
    So, I believe there should be something wrong with my code.
    So, what should be the code for controlling firm and industry*year fixed effects by using reghdfe?
    And, can I ask for the source of learning multi-way clustering by using reghdfe?
    Last edited by Phuc Nguyen; 13 Jun 2021, 03:52. Reason: adding tags

  • #2
    The syntax should be something like
    Code:
     
     reghdfe y x, absorb(TYPE2 INDC32#yr)

    Comment


    • #3
      Joro Kolev
      Thank you, it works well.

      Comment

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