Hey!
I tried to run panal data regression, and worked for cluster standard error at firm level(permno). (ym is year and month)
xtset permno ym
xtreg f6ret PF POSTPF POSTT PFT POSTPFT i.year, fe cluster(permno)
but when I try
xtreg f6ret PF POSTPF POSTT PFT POSTPFT i.year, fe cluster(country)
it says 'panels are not nested within clusters'.
Sample:
Thank you!
I tried to run panal data regression, and worked for cluster standard error at firm level(permno). (ym is year and month)
xtset permno ym
xtreg f6ret PF POSTPF POSTT PFT POSTPFT i.year, fe cluster(permno)
but when I try
xtreg f6ret PF POSTPF POSTT PFT POSTPFT i.year, fe cluster(country)
it says 'panels are not nested within clusters'.
Sample:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double permno float(ym f6ret year PF POSTPF POSTT PFT POSTPFT country) 10207 368 .06632764 1990 .7 0 0 0 0 4 10207 369 -.0794038 1990 .9 0 0 0 0 4 10207 370 -.003264269 1990 .9 0 0 0 0 4 10207 371 -.05579877 1990 .9 0 0 0 0 4 10207 372 -.20440815 1991 1 0 0 0 0 4 10207 373 -.05142857 1991 .8 0 0 0 0 4 10207 374 -.024201704 1991 .6 0 0 0 0 4 10207 375 .10524093 1991 .2 0 0 0 0 4 10207 376 .10358141 1991 .4 0 0 0 0 4 10207 377 .10524093 1991 .2 0 0 0 0 4 10207 378 .17792796 1991 .1 0 0 0 0 4 10207 379 .1547932 1991 .1 0 0 0 0 4 10207 380 .16414873 1991 .5 0 0 0 0 4 10207 381 .1838134 1991 .7 0 0 0 0 4 10207 382 .07760347 1991 .7 0 0 0 0 4 10207 383 .10672788 1991 .8 0 0 0 0 4 10207 384 .15785037 1992 .7 0 0 0 0 4 10207 385 .1630513 1992 .7 0 0 0 0 4 10207 386 .033496205 1992 .7 0 0 0 0 4 11077 366 -.59090906 1990 .2 0 0 .2 0 22 11077 367 -.5 1990 .2 0 0 .2 0 22 11077 368 .20833334 1990 .1 0 0 .1 0 22 11077 369 .08333334 1990 .1 0 0 .1 0 22 11077 370 .5 1990 .1 0 0 .1 0 22 11077 371 .888889 1990 .1 0 0 .1 0 22 11077 372 .7777778 1991 .1 0 0 .1 0 22 11077 373 .631579 1991 .1 0 0 .1 0 22 11077 374 -.034482747 1991 .8 0 0 .8 0 22 11077 375 .03846155 1991 .4 0 0 .4 0 22 11845 449 .16019306 1997 .5 0 0 .5 0 12 11845 450 .11007067 1997 .2 0 0 .2 0 12 11845 451 .06033811 1997 .4 0 0 .4 0 12 11845 452 .16861244 1997 .5 0 0 .5 0 12 11845 453 .2673978 1997 .5 0 0 .5 0 12 11845 454 .395664 1997 .6 0 0 .6 0 12 11845 455 .4124138 1997 .7 0 0 .7 0 12 11845 456 .49556565 1998 .7 0 0 .7 0 12 11845 457 .5543182 1998 .8 0 0 .8 0 12 11845 458 .017565502 1998 .7 0 0 .7 0 12 11845 459 -.21058515 1998 .9 0 0 .9 0 12 end format %tm ym
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