ivreghdfe

[Patrick Johannes]

Hello all,

i try to do an iv regression with fixed effetcs (industry and year) and want to cluster SE by firm and year.
I use the ivreghdfe command:
Is this not supported any longer?

In typed this
Would appreciate help

ivreghdfe firm_beta_w (esg_single c.esg_single#c.advertising_lag1 = president congress state_government c.president#c.advertising_lag1 c.congress#c.advertising_lag1 c.state_government#c.advertising_lag1) diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1, absorb (industry_key year) vce (cluster company_key year)

struct ms_vcvorthog undefined
(817 lines skipped)
(error occurred while loading ivreghdfe.ado)

[William Lisowski]

The output of

help ivreghdfe

tells us

To use ivreghdfe, you must have installed three packages: ftools, reghdfe, and ivreg2 (see the online guide).

Have you installed those packages as described in the linked online guide?

[Patrick Johannes]

Thanks, it worked!