Storing standard errors of absorbed variables after running reghdfe

[Giulia Romani]

Goodafternoon, I need to store the estimated standard errors of some absorbed fixed effects in a regression using reghdfe. I understand that reghdfe..., absorb(i.variable, savefe) stores the estimated fixed effects; but how do I get the related standard errors? Thanks a lot for your help

[FernandoRios]

Hi Giulia,
The short answer is you cant.
the whole idea of "absorbing" fixed effects is that you do not need their SE nor their point estimates later on. So all procedures that do this (reghdfe, regxfe, areg, etc), they do not estimate standard errors for the absorbed variables
HTH
F

[Giulia Romani]

Hi Ferdando, thanks for your reply. Actually, you can save the poit estimates of the absorbed variables, with the option absorb(i.var, savefe), but what you're saying is there is no equivalent command for the standard errors, am I right?

[FernandoRios]

Exactly
Recovering the values for the fixed effects is easy. SE is a different matter.
I tried for a while, but couldn't find a way that didn't involve re-calculating X'X, which is what you want to avoid.

[Giulia Romani]

I see. Thanks a lot for sharing. Bests