reghdfe, check and reghdfe, update fail with “last estimates not found”

[Timofey Shvaya]

I have encountered an issue with the reghdfe package in Stata 18.0 and 18.5. Specifically, both of the following diagnostic commands:

reghdfe, check
reghdfe, update

consistently fail with the error "last estimates not found".

I have tried both commands on Stata/MP 18.0 on MacOS and Stata/MP 18.0 and 18.5 on windows, every time the behavior is similar. Both commands should run fine, since they are included in the gpmlhdfe installation package. Similar syntax is also working for other packages:

ftools, check

I have tried re-installing reghdfe, ftools and ivreg2 - does not helped. The reghdfe itself works correctly.


The question is - are reghdfe, check and reghdfe, update officially supported options? Has anyone seen this behavior with reghdfe under Stata 18?

[Clyde Schechter]

-reghdfe- does not have any -check- or -update- option. The error message is misleading: it should say "option check not allowed" or something like that. Finally, -reghdfe- is not a part of official Stata; it is a user-written command, written by Sergio Correa and Noah Constantine, available from SSC. As such, nothing about -reghdfe- is "officially supported."