The dataset I have has the following characteristics. The data deals with shareholder activism for 13 years, T=13. The cross-sections have sometimes repetitive observations, following table shows the how firms might have repeating values across the time period and with the year.

The dependent variable is Analyst Report (AR) form 'i' at for week 't' whereas Independent is Log( 1+News Articles the week )(lnnews) control variables including Total assets( LnTA) for the previous year, Leverage(LEV) Book to market(Mkbk). I am not sure which is an appropriate manner to run a regression. I am now using

xi: regress AR lnnews lnTA Lev Mkbk i.Year i. Firm

I want to have standard errors clustered at the firm level once I change the command to

xi: regress AR lnnews lnTA Lev Mkbk i.Year i. Firm , vce (cluster Firm)

The F-statistic goes missing.

How to solve the issues, there are a total of 784 unique firms a total of 4564 firm-year observations for 13 years.

Cross-section /Time | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 |

Firm 3 | 7 | 6 | 9 | 7 | 4 | 6 | 5 | 4 | 6 | 6 | 5 | 6 | |

Firm 4 | 8 | 6 | 11 | 7 | 6 | 6 | 5 | 4 | 3 | 5 | 3 | ||

Firm 5 | 1 | 6 | 7 | 7 | 3 | 5 | 7 | 4 | 6 | 5 | 5 | 6 | |

Firm 6 | 1 | 7 | 5 | 9 | 7 | 5 | 5 | 4 | 3 | 4 | 4 | ||

Firm 7 | 7 | 5 | 6 | 5 | 1 | 2 | 3 | 2 | 4 | 4 | 8 | 3 | |

Firm 8 | 1 | 1 | 2 | 1 | 3 | 1 | 1 | ||||||

Firm 9 | 1 | 2 | 3 | 1 | 1 | 1 | 1 |

The dependent variable is Analyst Report (AR) form 'i' at for week 't' whereas Independent is Log( 1+News Articles the week )(lnnews) control variables including Total assets( LnTA) for the previous year, Leverage(LEV) Book to market(Mkbk). I am not sure which is an appropriate manner to run a regression. I am now using

xi: regress AR lnnews lnTA Lev Mkbk i.Year i. Firm

I want to have standard errors clustered at the firm level once I change the command to

xi: regress AR lnnews lnTA Lev Mkbk i.Year i. Firm , vce (cluster Firm)

The F-statistic goes missing.

How to solve the issues, there are a total of 784 unique firms a total of 4564 firm-year observations for 13 years.

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