It performs linear and instrumental variable regressions while absorbing for any number of fixed effects. reghdfe builts heavily on the packages reg2hdfe by Paulo Guimaraes and a2reg by Amine Ouazad. Details and examples are included in the help file, but key features include: Much faster than the alternatives (reg2hdfe, a2reg, ivreg2hdfe, felsdvreg, etc) in most scenarios. It's built in Mata and avoids some of the usual bottlenecks such as sorting the data every iteration or large memory consumption.
Allows more than two sets of highly dimensional fixed effects (HDFE), using the same absorb() syntax as areg.
Allows interactions of fixed effects: absorb(industry#year)
Allows absorbing for interactions with categorical variables. For instance, absorb(i.industry##c.t) will include industry fixed effects, and a different time trend for each industry.
Can run IV/2SLS regressions using either -ivregress- or -ivreg2- (if avaiable).
Allows factor variable and time series in the varlists.
In OLS regressions, it also reports FStats for the FEs (see option -nested-) as well as correlation between the fixed effects and xb.
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