Meaning of F-test using reghdfe's absorb()

[Luiza Lins]

I ran two specifications of an event study. The second one is identical to the first, except for the inclusion of the parameter 'absorb(mun)', where 'mun' stands for municipalities. In other words, in the second one, I included municipalities fixed-effects.

In the first specification, I obtained:
F(6, 1576) = 28.80
Prob > F = 0.0000

In the second one:
F(6, 476) = 0.60
Prob > F = 0.7300

Does this mean that the set of municipalities fixed effects is not relevant for the model? How should I interpret this test in this context?
Thank you

[Andrew Musau]

It's the test for the joint significance of the 6 RHS variables in the model. The results tell you that these variables are jointly not significant after controlling for municipality effects. In other words, the municipality effects capture all the variation that is explained by these 6 variables. You can replicate the test by running

testparm *

after the regression.