I am trying to export p-values to Excel from the Stata community-contributed command reghdfe:
// get data
use "
http://www.stata-press.com/data/r9/nlswork.dta", clear
xtset idcode year
// run regression
reghdfe ttl_exp age not_smsa msp nev_mar, abs(idcode year) cluster(idcode)
// store numbers
local rmse = `e(rmse)'
// export
putexcel A1 = (`rmse') using "export.xlsx" , modify // this works
How can I get the p-value of a given variable (say msp) exported to the same Excel document?
The ereturn list does not suggest any helpful info, e(V) contains only the covariance matrix.
Cross posted on Statalist.
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