其实last estimates not found这个问题，不用这么麻烦。我也是研究了半天，最后发现可以根据ivreghdfe命令的作者在github上写的统一安装需要的那些命令来很方便快捷地解决。
这是ivreghdfe命令作者的Github主页：https://github.com/sergiocorreia/ivreghdfe
或者把下面的安装命令在Stata里直接复制粘贴执行就好啦~~
* Install ftools (remove program if it existed previously)
cap ado uninstall ftools
net install ftools, from("https://raw.githubusercontent.com/sergiocorreia/ftools/master/src/")
* Install reghdfe
cap ado uninstall reghdfe
net install reghdfe, from("https://raw.githubusercontent.com/sergiocorreia/reghdfe/master/src/")
* Install ivreg2, the core package
cap ado uninstall ivreg2
ssc install ivreg2
* Finally, install this package
cap ado uninstall ivreghdfe
net install ivreghdfe, from(https://raw.githubusercontent.com/sergiocorreia/ivreghdfe/master/src/)