ivreg2 V ivreghdfe

[kamalesh pahurkar]

What is the difference between ivreg2 and ivreghdfe commands? Ivreghdfe allows us to absorb the multiple fixed effects, but I observed that the standard error from ivreghdfe is higher than ivreg2. What causes the standard error to vary?

[FernandoRios]

The main difference is that ivreg2 gives you standard errors that do not make degrees of freedom adjustments. ivreghdfe does.
If add the option "small" to ivreg2, you should get the same results

[Maxence Morlet]

In addition to Fernando's great response, you'll find more info on the iverghdfe package here: https://github.com/sergiocorreia/ivreghdfe.