Fix bug with constant in fixed effects

Before, the first fixed effect included the constant. This was changed
in v5 so the constant is on its own in b[_cons], and the saved fixed
effect coefs adjusted for that.

However, if there were other regressors, the fixed effects still
included the constants by mistake.

Also see #140

src/reghdfe.ado

@@ -1,4 +1,4 @@
-*! version 5.2.6 01aug2018
+*! version 5.2.7 02aug2018
 
 program reghdfe, eclass
 	* Intercept old+version

src/reghdfe.sthlp

@@ -1,5 +1,5 @@
 {smcl}
-{* *! version 5.2.6 01aug2018}{...}
+{* *! version 5.2.7 02aug2018}{...}
 {vieweralsosee "[R] areg" "help areg"}{...}
 {vieweralsosee "[R] xtreg" "help xtreg"}{...}
 {vieweralsosee "[R] ivregress" "help ivregress"}{...}
@@ -10,7 +10,7 @@
 {vieweralsosee "reg2hdfe" "help reg2hdfe"}{...}
 {vieweralsosee "a2reg" "help a2reg"}{...}
 {viewerjumpto "Syntax" "reghdfe##syntax"}{...}
-{viewerjumpto "Description" "reghdfe##description"}{...}
+{viewerjumpto "description" "reghdfe##description"}{...}
 {viewerjumpto "Options" "reghdfe##options"}{...}
 {viewerjumpto "Postestimation Syntax" "reghdfe##postestimation"}{...}
 {viewerjumpto "Remarks" "reghdfe##remarks"}{...}
@@ -702,6 +702,9 @@ on the other hand, there may be alternatives:
 {synopt:{cmd:e(df_m)}}model degrees of freedom{p_end}
 {synopt:{cmd:e(df_r)}}residual degrees of freedom{p_end}
 
+{synopt:{cmd:e(report_constant)}}whether _cons was included in the regressions (default)
+or as part of the fixed effects{p_end}
+
 {synoptset 24 tabbed}{...}
 {syntab:Macros}
 {synopt:{cmd:e(cmd)}}{cmd:reghdfe}{p_end}

src/reghdfe_class.mata

@@ -1048,7 +1048,9 @@ class FixedEffects
 		st_global("e(title3)", text)
 	}
 
-	if (!missing(sumweights)) st_numscalar("e(sumweights)", sumweights)     
+	if (!missing(sumweights)) st_numscalar("e(sumweights)", sumweights)
+
+	st_numscalar("e(report_constant)", compute_constant & report_constant)
 
 
 	// ---- .options properties ---------------------------------------------

src/reghdfe_store_alphas.ado

@@ -11,6 +11,9 @@ program define reghdfe_store_alphas, eclass
 		if (e(rank)) {
 			qui _predict double `d' if e(sample), xb
 		}
+		else if (e(report_constant)) {
+			gen double `d' = _b[_cons]
+		}
 		else {
 			gen double `d' = 0
 		}

test/alphas.do

@@ -8,28 +8,60 @@ noi cscript "reghdfe: saving alphas (FEs)" adofile reghdfe
 * [TEST] Non-missing alphas
 	gen double turn2 = turn
 	reghdfe turn2, a(TURN=turn) keepsing v(-1)
-	assert abs(TURN - turn) < 1e-12
+	assert abs(turn - TURN - _b[_cons]) < 1e-12
 	drop turn2 TURN
 
+
 * [TEST] One FE
 	areg price weight gear, absorb(turn)
-	loc c = _b[_cons]
-	predict double bench_d if e(sample), d
-	*replace bench_d = bench_d + `c' if e(sample) // Now both areg and reghdfe save demeaned FEs
+	predict double D0 if e(sample), d
 
 	reghdfe price weight gear, absorb(FE=turn) keepsing v(-1)
-	gen double d1 = FE
+	gen double D1 = FE
 
 	reghdfe price weight gear, absorb(turn, save) keepsing v(-1)
-	gen double d2 = __hdfe1__
+	gen double D2 = __hdfe1__
+
+	gen delta1 = reldif(D0, D1)
+	gen delta2 = reldif(D0, D2)
 
-	gen delta1 = reldif(bench_d, d1)
-	gen delta2 = reldif(bench_d, d2)
+	su D*
 
 	assert(delta1 < 1e-10)
 	assert(delta2 < 1e-10)
+	drop delta* D* FE __*
+
+
+* [TEST] One FE, no regressors
+* SEE: https://github.com/sergiocorreia/reghdfe/issues/140
+
+	areg price, absorb(turn)
+	predict double D0 if e(sample), d
+
+	reghdfe price, absorb(FE=turn) keepsing v(-1)
+	gen double D1 = FE
+
+	reghdfe price, absorb(turn, save) keepsing v(-1)
+	gen double D2 = __hdfe1__
+
+	gen delta1 = reldif(D0, D1)
+	gen delta2 = reldif(D0, D2)
+
+	su D*
+
+	assert(delta1 < 1e-10)
+	assert(delta2 < 1e-10)
+	drop delta* D* FE __*
+
+
+* [TEST] Several FEs, all should have mean zero
+	reghdfe price weight length gear, a(foreign turn trunk rep, save) tol(1e-16)
+	foreach var of varlist __hdfe* {
+		su `var'
+		assert(abs(r(mean)) < 1e-7) // this is actually good precision, as price has mean of 6,000
+	}
+	drop __hdfe*
 
-	drop bench_* delta* d1 d2 FE __*
 
 * [TEST] One FE with MVs
 	areg price weight gear, absorb(rep)
@@ -68,7 +100,9 @@ noi cscript "reghdfe: saving alphas (FEs)" adofile reghdfe
 
 	drop bench* delta* fe*
 
+
 * [TEST] Slope
+
 	reg price ibn.turn#c.gear, nocons
 	predict double bench_slope, xb
 
@@ -79,6 +113,7 @@ noi cscript "reghdfe: saving alphas (FEs)" adofile reghdfe
 	assert(delta < 1e-8)
 	drop delta bench_slope slope
 
+
 * [TEST] Several slopes
 	areg price ibn.turn#c.(gear disp), a(turn)
 	predict double bench_slopes, xb

test/report_constant.do

@@ -11,9 +11,11 @@ noi cscript "reghdfe: test that the constant option does not change anything" ad
 	local absvars turn
 
 	local exclude ///
+		scalar: report_constant ///
 		matrix: b V ///
 		macros: indepvars cmdline
 
+
 * [TEST] Unadjusted
 	reghdfe `lhs' `rhs', absorb(`absvars') keepsingletons verbose(-1) constant
 	trim_cons