Try julia -e with single as well as double quotes

partialhdfejl.ado

@@ -0,0 +1,96 @@
+// Perform HDFE partialling in a common sample
+cap program drop partialhdfejl
+program define partialhdfejl
+  syntax varlist [if] [in] [aw pw fw iw/], Absorb(string) [GENerate(string) PREfix(string) replace]
+
+  if (`"`generate'"'!="") + (`"`prefix'"'!="") != 1 {
+    di as err "Specify exactly one of {cmdab:gen:erate()} or {cmdab:pre:fix()}."
+    exit 198
+  }
+
+  marksample touse
+
+  if strpos("`varlist'", ".") | strpos("`varlist'", "#") | strpos("`varlist'", "-") | strpos("`varlist'", "?") | strpos("`varlist'", "*") | strpos("`varlist'", "~") {
+    fvexpand `varlist' if `touse'
+    local varlist
+    foreach var in `r(varlist)' {
+      _ms_parse_parts `var'
+      if !r(omit) local varlist `varlist' `var'
+    }
+    fvrevar `varlist' if `touse'
+    local varlist `r(varlist)'
+  }
+
+  if `"`generate'"'!="" _assert `:word count `generate''==`:word count `varlist'', msg("generate() option has wrong number of variable names") rc(198)
+
+  if `"`exp'"' != "" {
+    cap confirm var `exp'
+    if _rc {
+      tempname wtvar
+      gen double `wtvar' = `exp' if `touse'
+    }
+    else local wtvar `exp'
+    local wtopt , weights = :`wtvar'
+  }
+
+  local blaslib = cond(c(os)=="MacOSX", "AppleAccelerate", "BLISBLAS")
+  local gpulib  = cond(c(os)=="MacOSX", "Metal", "CUDA")
+
+  jl AddPkg `blaslib'
+  jl AddPkg `gpulib'
+  jl AddPkg FixedEffectModels, minver(1.10.2)
+  jl, qui: using `blaslib', `gpulib', FixedEffectModels
+
+  tokenize `absorb'
+  local absorb `*'  // remove extra spaces
+  local feterms i.`: subinstr local absorb " " " + i.", all'
+
+  local absorbvars `feterms'
+  local feterms: subinstr local feterms "##c." ")*(", all
+  local feterms: subinstr local feterms "#c." ")&(", all
+  local feterms: subinstr local feterms "##i." ")*fe(", all
+  local feterms: subinstr local feterms "##" "#", all
+  local feterms: subinstr local feterms "#" "#i.", all
+  local feterms: subinstr local feterms "i.i." "i.", all
+  local feterms: subinstr local feterms "#i." ")&fe(", all
+  local feterms: subinstr local feterms "i." "fe(", all
+  local feterms: subinstr local feterms " " ") + ", all
+  local feterms: subinstr local feterms ")" " )", all
+  local feterms: subinstr local feterms "(" "( ", all
+  local feterms + `feterms' )
+
+  local absorbvars: subinstr local absorbvars "i." " ", all
+  local absorbvars: subinstr local absorbvars "c." " ", all
+  local absorbvars: subinstr local absorbvars "#" " ", all
+
+  local absorbvars `absorbvars'
+  foreach var in `absorbvars' {
+    cap confirm numeric var `var'
+    if _rc {
+      tempvar t
+      egen long `t' = group(`var') if `touse'
+      local absorbvars: subinstr local absorbvars "`var'" "`t'", word all
+      local feterms   : subinstr local feterms    "`var'" "`t'", word all
+    }
+  }
+
+  markout `touse' `absorbvars'
+
+  jl PutVarsToDFNoMissing `varlist' `absorbvars' `wtvar' if `touse'
+  jl, qui: p = partial_out(df, @formula(`:subinstr local varlist " " " + ", all' ~ 1 `feterms') `wtopt', add_mean=false)
+
+  if `"`prefix'"' != "" local generate `prefix'`: subinstr local varlist " " " `prefix'", all'
+    else if "`replace'"!="" {
+      tempname t
+      jl, qui: SF_scal_save("`t'", size(df)[1])
+      if `t' < _N {
+        foreach var in `generate' {
+          cap replace `var' = .
+        }
+      }
+    }
+
+  jl GetVarsFromDF `generate' if `touse', source(p[1]) cols(`varlist') `replace'
+
+  jl: df = p = nothing
+end

reghdfejl.ado

@@ -89,15 +89,7 @@ program define reghdfejl, eclass
     exit 0
   }
 
-  jl version
-  if "`r(version)'" != "`JLVERSION'" {
-    di as txt "The Stata package julia is not up to date. Attempting to update it with {stata ssc install julia, replace}." _n
-    ssc install julia, replace
-    jl version
-    _assert "`r(version)'"=="`JLVERSION'", msg(Failed to install required version of the julia package.) rc(198)
-  }
-
-	syntax anything [if] [in] [aw pw iw/], [Absorb(string) Robust CLuster(string) vce(string) RESIDuals ITerations(integer 16000) gpu THReads(integer 0) ///
+	syntax anything [if] [in] [aw pw iw fw/], [Absorb(string) Robust CLuster(string) vce(string) RESIDuals ITerations(integer 16000) gpu THReads(integer 0) ///
                                           noSAMPle TOLerance(real 1e-8) Level(real `c(level)') NOHEADer NOTABLE compact *]
   local sample = "`sample'"==""
 
@@ -114,19 +106,24 @@ program define reghdfejl, eclass
   if `threads' local threadsopt , nthreads = `threads'
 
   if `"$reghdfejl_loaded"'=="" {
-    cap jl: nothing
+    cap jl version
     if _rc {
       di as err `"Can't access Julia. {cmd:reghdfejl} requires that the {cmd:jl} command be installed, via {stata ssc install julia}."
       di as err "And it requires that Julia be installed, following the instruction under Installation in {help jl##installation:help jl}."
       exit 198
     }
+
+    if "`r(version)'" != "`JLVERSION'" {
+      di as txt "The Stata package {cmd:julia} is not up to date. Attempting to update it with {stata ssc install julia, replace}." _n
+      ssc install julia, replace
+    }
+
     local blaslib = cond(c(os)=="MacOSX", "AppleAccelerate", "BLISBLAS")
     jl AddPkg `blaslib'
     jl AddPkg `gpulib'
     jl AddPkg FixedEffectModels, minver(1.10.2)
-    jl AddPkg DataFrames, minver(1.6.1)
     jl AddPkg Vcov, minver(0.8.1)
-    jl, qui: using `blaslib', `gpulib', FixedEffectModels, DataFrames, Vcov
+    jl, qui: using `blaslib', `gpulib', FixedEffectModels, Vcov
     global reghdfejl_loaded 1
   }
 
@@ -337,9 +334,10 @@ program define reghdfejl, eclass
     jl, qui: esample = nothing
   }
 
-  tempname b V
-  jl, qui: SF_scal_save("`b'", length(coef(m)))
-  if `b' {
+  jl, qui: SF_scal_save("`t'", length(coef(m)))
+  if `t' {
+    tempname b V
+
     jl, qui: SF_scal_save("`b'", coefnames(m)[1]=="(Intercept)")
     local hascons = `b'
 

reghdfejl.sthlp

@@ -86,6 +86,9 @@ displays these corrections in a table after the main results. {cmd:reghdfejl} do
 {p 4 6 0}
 * It does not offer the {help reghdfe##opt_group_fes:Group FE} features.
 
+{p 4 6 0}
+* It does not accept frequency weights ("fweights").
+
 {p 4 6 0}
 * It does not allow control over whether the constant term is reported. The constant is always absorbed.