Hello Statalist users,

I am trying to test the statistical significance of coefficients of absorbed fixed effects generated using the reghdfe command. Unfortunately, I keep getting errors. For example, consider the following code:

webuse nlswork
reghdfe ln_w grade age ttl_exp tenure not_smsa south , a(idcode year)

Here, both idcode and year are treated as fixed effects and their coefficients are not reported in the final output table. But what if I want to test if their coefficients are statistically different than zero? If I use the command

test 69.year

I get the error "factor 'year' not found in list of covariates." I attempted to follow the instructions in the help site for reghdfe (http://scorreia.com/help/reghdfe.html) for saving fixed absorbed effects but I still have no luck. The only way I can get the test command to work for the regression above is if I take year out of the list of absorbed fixed effects and include it in the main regression.

Unfortunately, the actual application I am working on has a large number of fixed effects (thousands) and I have not been able to get my computer to successfully run the model with the large number of fixed effects in the main model, and not in the list of absorbed fixed effects. When I try this, I get the error:

Factor::sort(): 3900 unable to allocate real <tmp>[2284668,376] FixedEffects::project_one_fe(): - function returned error transform_sym_kaczmarz(): - function returned error accelerate_cg(): - function returned error FixedEffects::_partial_out(): - function returned error FixedEffects::partial_out(): - function returned error <istmt>: - function returned error When I run the model with the large number of fixed effects in the list of absorbed fixed effects, I run into the same problem as above...I cannot run the test command. If anyone has any ideas, I would appreciate your input. Thanks!