bugfix with i.var#c.var

Now we don't exclude base variables with cont. interactions

package/reghdfe.ado

@@ -1,4 +1,4 @@
-*! reghdfe 1.4.334 12mar2015
+*! reghdfe 1.4.371 15mar2015
 *! Sergio Correia (sergio.correia@duke.edu)
 * (built from multiple source files using build.py)
 program define reghdfe
@@ -1408,6 +1408,8 @@ syntax varlist(min=1 numeric fv ts) [if] [,setname(string)] [CACHE]
 	* EG: if we use i.foreign#i.rep78 , several categories will be redundant, seen as e.g. "0b.foreign" in -char list-
 	* We'll also exclude base categories that don't have the "bn" option (to have no base)
 
+	* However, if there is a cont. interaction, then we DO want the base categories!
+
 	* Loop for each var and then expand them into i.var -> 1.var.. and loop
 	* Why two loops? B/c I want to save each var expansion to allow for a cache
 
@@ -1442,14 +1444,17 @@ syntax varlist(min=1 numeric fv ts) [if] [,setname(string)] [CACHE]
 			if (substr("`var'", 1, 2)=="__") {
 				local color result
 				local parts : subinstr local fvchar "#" " ", all
+				local continteraction = strpos("`fvchar'", "c.")>0
 				foreach part of local parts {
+					*di as error "part=<`part'> cont=`continteraction' all=<`fvchar'>"
 					* "^[0-9]+b\." -> "b.*\."
-					if regexm("`part'", "b.*\.") | regexm("`part'", "o.*\.") {
+					if (regexm("`part'", "b.*\.") & !`continteraction') | regexm("`part'", "o.*\.") {
 						local color error	
-						drop `var'
-						continue, break
 					}
 				}
+				if ("`color'"=="error") {
+					local color result
+				}
 
 
 				* Need to rename it, or else it gets dropped since its a tempvar
@@ -1525,7 +1530,14 @@ local vars `0'
 				if ("`newname'"=="") local newname `var'
 			}
 			else if (`is_temp' & "`name'"!="") {
-				local newname `prefix'`name' // BUGBUG
+				local newname `prefix'`name'
+
+				* Fix bug when the var is omitted:
+				local bugmatch = regexm("`newname'", "^o\.([0-9]+)b?\.(.+)$")
+				if (`bugmatch') {
+					local newname = regexs(1) + "o." + regexs(2) // EG: 1o.var
+				}
+
 				local prettyname `newname'
 			}
 			else {
@@ -1534,7 +1546,7 @@ local vars `0'
 			}
 		}
 
-		* di in red " var=<`var'> --> new=<`newname'> pretty=<`prettyname'>"
+		*di in red " var=<`var'> --> new=<`newname'> pretty=<`prettyname'>"
 		Assert ("`newname'"!="" & "`prettyname'"!=""), ///
 			msg("var=<`var'> --> new=<`newname'> pretty=<`prettyname'>")
 		local newnames `newnames' `newname'
@@ -2002,7 +2014,6 @@ program define Wrapper_ivregress, eclass
 		local wmatrix : subinstr local vceoption "vce(" "wmatrix("
 		local vceoption = cond(`vceunadjusted', "vce(unadjusted)", "")
 	}
-	di as error "<`vceunadjusted'>!!!"
 
 	* Note: the call to -ivregress- could be optimized.
 	* EG: -ivregress- calls ereturn post .. ESAMPLE(..) but we overwrite the esample and its SLOW

package/reghdfe.pkg

@@ -16,7 +16,7 @@ d KW: instrumental variables
 d
 d Requires: Stata version 11.2
 d
-d Distribution-Date: 20150312
+d Distribution-Date: 20150315
 d
 
 f reghdfe.ado

source/_reghdfe/ExpandFactorVariables.ado

@@ -12,6 +12,8 @@ syntax varlist(min=1 numeric fv ts) [if] [,setname(string)] [CACHE]
 	* EG: if we use i.foreign#i.rep78 , several categories will be redundant, seen as e.g. "0b.foreign" in -char list-
 	* We'll also exclude base categories that don't have the "bn" option (to have no base)
 
+	* However, if there is a cont. interaction, then we DO want the base categories!
+
 	* Loop for each var and then expand them into i.var -> 1.var.. and loop
 	* Why two loops? B/c I want to save each var expansion to allow for a cache
 
@@ -46,14 +48,17 @@ syntax varlist(min=1 numeric fv ts) [if] [,setname(string)] [CACHE]
 			if (substr("`var'", 1, 2)=="__") {
 				local color result
 				local parts : subinstr local fvchar "#" " ", all
+				local continteraction = strpos("`fvchar'", "c.")>0
 				foreach part of local parts {
+					*di as error "part=<`part'> cont=`continteraction' all=<`fvchar'>"
 					* "^[0-9]+b\." -> "b.*\."
-					if regexm("`part'", "b.*\.") | regexm("`part'", "o.*\.") {
+					if (regexm("`part'", "b.*\.") & !`continteraction') | regexm("`part'", "o.*\.") {
 						local color error	
-						drop `var'
-						continue, break
 					}
 				}
+				if ("`color'"=="error") {
+					local color result
+				}
 
 
 				* Need to rename it, or else it gets dropped since its a tempvar

source/_reghdfe/FixVarnames.ado

@@ -33,7 +33,14 @@ local vars `0'
 				if ("`newname'"=="") local newname `var'
 			}
 			else if (`is_temp' & "`name'"!="") {
-				local newname `prefix'`name' // BUGBUG
+				local newname `prefix'`name'
+
+				* Fix bug when the var is omitted:
+				local bugmatch = regexm("`newname'", "^o\.([0-9]+)b?\.(.+)$")
+				if (`bugmatch') {
+					local newname = regexs(1) + "o." + regexs(2) // EG: 1o.var
+				}
+
 				local prettyname `newname'
 			}
 			else {
@@ -42,7 +49,7 @@ local vars `0'
 			}
 		}
 
-		* di in red " var=<`var'> --> new=<`newname'> pretty=<`prettyname'>"
+		*di in red " var=<`var'> --> new=<`newname'> pretty=<`prettyname'>"
 		Assert ("`newname'"!="" & "`prettyname'"!=""), ///
 			msg("var=<`var'> --> new=<`newname'> pretty=<`prettyname'>")
 		local newnames `newnames' `newname'

source/_reghdfe/Wrapper_ivregress.ado

@@ -31,7 +31,6 @@ program define Wrapper_ivregress, eclass
 		local wmatrix : subinstr local vceoption "vce(" "wmatrix("
 		local vceoption = cond(`vceunadjusted', "vce(unadjusted)", "")
 	}
-	di as error "<`vceunadjusted'>!!!"
 
 	* Note: the call to -ivregress- could be optimized.
 	* EG: -ivregress- calls ereturn post .. ESAMPLE(..) but we overwrite the esample and its SLOW

source/reghdfe.ado

@@ -1,4 +1,4 @@
-*! reghdfe 1.4.334 12mar2015
+*! reghdfe 1.4.371 15mar2015
 *! Sergio Correia (sergio.correia@duke.edu)
 * (built from multiple source files using build.py)
 

source/reghdfe.pkg

@@ -16,7 +16,7 @@ d KW: instrumental variables
 d
 d Requires: Stata version 11.2
 d
-d Distribution-Date: 20150312
+d Distribution-Date: 20150315
 d
 
 f reghdfe.ado

test/super.do

@@ -22,6 +22,8 @@
 	run test-mwc
 	run test-ivreg2-nocons
 
+	run test-cont-interaction
+
 	run test-gmm
 	* Doesn't work: run test-cue
 	run test-liml

test/test-cont-interaction.do

@@ -0,0 +1,65 @@
+cd "D:/Github/reghdfe" // /source
+cscript "reghdfe test bugfix ibn.x1#c.x2 do not drop base cat." adofile reghdfe
+
+* Setup
+	discard
+	clear all
+	set more off
+	* cls
+
+* Convenience: "Trim <size>" will trim e(b) and e(V)
+	capture program drop TrimMatrix
+	program define TrimMatrix, eclass
+	args size
+		assert `size'>0
+		matrix trim_b = e(b)
+		matrix trim_V = e(V)
+		matrix trim_b = trim_b[1, 1..`size']
+		matrix trim_V = trim_V[1..`size',1..`size']
+		ereturn matrix trim_b = trim_b
+		ereturn matrix trim_V = trim_V
+	end
+
+* Create fake dataset
+	sysuse auto
+	*gen n = int(uniform()*10+3) // used for weights
+	*replace length = 0 if rep==3 // used for DoF adjustment of cont var
+	*replace length = 5 if rep==1
+	*gen byte one = 1
+	bys turn: gen t = _n
+	tsset turn t
+	drop if missing(rep)
+
+	local included_e scalar: N rmse tss rss r2 r2_a F df_r df_a df_m F_absorb ///
+		matrix: trim_b trim_V ///
+		macros: wexp wtype
+
+* [TEST]
+	local lhs price
+	local rhs c.weight#ibn.rep
+	local absvars turn
+	fvunab tmp : `rhs'
+	*local K : list sizeof tmp
+
+	* 1. Run benchmark
+	areg `lhs' `rhs', absorb(`absvars')
+	local K = e(df_m) - 1
+	TrimMatrix `K'
+	storedresults save benchmark e()
+
+	* 2. Run reghdfe and compare
+	reghdfe `lhs' `rhs', absorb(`absvars') vce(unadjusted, suite(default))
+	TrimMatrix `K'
+	storedresults compare benchmark e(), tol(1e-12) include(`included_e')
+
+	storedresults drop benchmark
+
+	* 3. Ensure that it doesn't die with multi
+	reghdfe `lhs' `rhs', absorb(`absvars') nocons
+	reghdfe `lhs' `rhs' weight, absorb(`absvars') nocons
+	reghdfe `lhs' weight `rhs', absorb(`absvars') nocons
+	egen x = std(weight)
+	reghdfe `lhs' x c.x#i.rep weight c.weight#i.rep, absorb(`absvars') nocons
+
+cd "D:/Github/reghdfe/test"
+exit