Panel regression - including fixed effects AND clustering standard errors

[Daniel van Loenen]

Hi everyone,

I am running a panel regression on industry returns (49 Fama French industries) over time (1994-November until 2014-December). The (cross-sectional) industry identifier is industrynr and the time variable is Observation. I was trying to run this with the reghdfe command. I got an error message (see attachment) and can't resolve it for some reason.

Does anyone know how to resolve this?

Thanks in advance,

Daniel

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

I'd start by running it with a simpler statement - drop the clustering for example and see what happens. If you only want industry and year, you can use xtreg with i.observation in the rhs variables.

[Phil Bromiley]

I wonder if you have some values for observation that don't have legitimate usable observations. This might give the VCV matrix problem.

[Daniel van Loenen]

Thank you for your reply Phil. The problem is resolved.

Best,

Daniel