[Nitin Jain]

How did you xtset your data? As in what variable did you put as x (cross-sectional variable)? If this variable is industry, then you do not need to re-specify it in the xtreg command.

However, you do need to specify time (for two-way FE) as a factor variable: i.time, before the comma. You have to specify any other vector of fixed effects (apart from unit fixed effects) like that as well.

Hi Maxence,

For xtset I used firm id and year.

[Maxence Morlet]

OK, within firm, is there variation in industry? I suspect there isn't, so Stata will just drop your i.industry dummies.

[Nitin Jain]

OK, within firm, is there variation in industry? I suspect there isn't, so Stata will just drop your i.industry dummies.

There is variation within industry, stata is not dropping the industry dummies. Some of them are significant.