Save the residuals from a regression with industry and year fixed effects

[Alberto Alvarez]

Dear Stata Users,

I am trying to estimate a model with industry and year fixed effects with standard errors clustered at the firm level. From this regression I need to save the residuals. For this I use the code below. Please, correct me if I am wrong:

reghdfe y x1 x2 x3 x4, absorb(industry year) vce(cluster firm_ID)

predict e, residuals

[Carlo Lazzaro]

Alberto:
not quite, I think.
You should try something along the following toy-example, instead:

. use "http://www.stata-press.com/data/r15/nlswork.dta"
(National Longitudinal Survey.  Young Women 14-26 years of age in 1968)

. reghdfe ln_wage hours, absorb(FE_ID_CODE=idcode FE_YEAR=i.year) vce(cluster idcode)
(dropped 550 singleton observations)
(converged in 8 iterations)
(converged in 10 iterations)

HDFE Linear regression                            Number of obs   =     27,917
Absorbing 2 HDFE groups                           F(   1,   4159) =       2.35
Statistics robust to heteroskedasticity           Prob > F        =     0.1257
                                                  R-squared       =     0.6555
                                                  Adj R-squared   =     0.5949
                                                  Within R-sq.    =     0.0004
Number of clusters (idcode)  =      4,160         Root MSE        =     0.3030

                             (Std. Err. adjusted for 4,160 clusters in idcode)
------------------------------------------------------------------------------
             |               Robust
     ln_wage |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       hours |    .000749    .000489     1.53   0.126    -.0002097    .0017076
------------------------------------------------------------------------------

Absorbed degrees of freedom:
---------------------------------------------------------------+
 Absorbed FE |  Num. Coefs.  =   Categories  -   Redundant     |
-------------+-------------------------------------------------|
      idcode |            0            4160           4160 *   |
        year |           14              15              1     |
---------------------------------------------------------------+
* = fixed effect nested within cluster; treated as redundant for DoF computation

. predict e, residuals
(617 missing values generated)

.

[Alberto Alvarez]

Dear Carlo,

Thank you very much! It worked.