time trends by group with new HDFE commands

[Nicolas Suarez]

Hi everyone,

I'm using the new version of areg in Stata Now 19.5, and I am wondering if anyone has an idea of how I could take advantage of this command to absorb group specific time trends, just like reghdfe from SSC. I want to run something like this:

areg y x, absorb(i.group#c.time)

Where time is any kind of time variable. The problem is that none of the new high-dimensional fixed effects (HDFE) commands allow factor-variable and time-series operators in absorb.

If I add these time trends as variables, all the speed gains of the new HDFE commands disappear. Here is an example based on the HDFE announcement page:

webuse hdfe, clear

timer clear

timer on 1
areg y x, absorb(id a1 a2)
est sto m1
timer off 1

timer on 2
reghdfe y x, abs(id a1 a2)
est sto m2
timer off 2

timer list

For me, the runtime of areg is 1/10 of the one of reghdfe. However, if I create a time variable, and add time trends for each group of the variable a1, then areg's runtime becomes 17 times the time that reghdfe takes to run:

bys id: gen time=_n
timer on 3
qui reghdfe y x, abs(id i.a1#c.time)
timer off 3

timer on 4
qui areg y x i.a1#c.time, abs(id)
timer off 4

timer list

Any ideas of how I could the new HDFE commands to add these time trends?