扩展工具变量多重高维固定效应面板回归命令ivreghdfe的github安装与本地安装-经管之家官网！

This code just modifies ivreg2 adding an absorb() option that uses reghdfes Mata functions (see this link for the line-by-line differences). When used, absorb() will also activate the small, noconstant and nopartialsmall options of ivreg2 (basically to force small sample adjustments, which are required as we might have a substantial number of fixed effects).

If you need to pass optimization options directly to reghdfe (e.g. tolerance, choice of transform, etc.) you can do that as a suboption of absorb():

sysuse auto, clearivreghdfe price weight (length=gear), absorb(turn trunk, tol(1e-6) accel(sd))

This is gives the same result as using the old version of reghdfe (but slower):

reghdfe price weight (length=gear), absorb(turn trunk) tol(1e-6) accel(sd) old
Residuals

To save residuals, do this:

sysuse autoivreghdfe price weight, absorb(trunk, resid(myresidname))

Notice the resid() option within absorb. If you call it without parenthesis, residuals will be saved in the variable _reghdfe_resid.

You can also use the other predict options of reghdfe, such as d:

predict d, d

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