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How to save covariance matrix of the estimated fixed effects after reghdfe
How to save covariance matrix of the estimated fixed effects after reghdfe

Hi everybody!

I have a longitudinal dataset (individuals x years, individuals live in different areas) and I am using the following command:
reghdfe y x, absorb(area=FE year) vce(cluster pro)
where FE are the estimated fixed effects for the N areas. How can I save the cov matrix for the FE parameters? I'd like to have a NxN matrix in the .dta file.

Thanks!

Giorgia

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How to save covariance matrix of the estimated fixed effects after reghdfe

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