Fixed Effects using LSDV with Driscoll-Kraay standard errors

[Viridiana Corona]

Hello everyone,

I am trying to estimate a fixed effects model (with an unbalanced panel data) with Driscoll-Kraay standard errors where I can see the particular effect of my entities. In other words a Fixed Effects using least squares dummy variable model (LSDV) with Driscoll-Kraay standard errors.
I tried the command:

xtscc $y $x i.entity i.year, lag(3)

But is telling me "date is not regularly spaced: there are contemporaneous gap(s) across all subjects in entity".

In this regard I have two doubts what does this error mean? what do the lags I apply mean? I don't understand the lags very well, since I tried to take up the idea in another question in the forum.

Thank you very much for your help.

[Joro Kolev]

The error is saying what is the problem: your time variable is not regularly spaced.

Putting the lag option tells the command at which lag to truncate the HAC variance estimate.

I guess it will give you the same error if you omit the lag(3) option.

[Viridiana Corona]

Joro Kolev ,

Thank you very much for your prompt response. The problem with my data is that, for each entity, the dates (which are daily observations) start in different months of the year 2011 and end in different months of the year 2018. Still, it can be said that they fall within the same range of years. I guess that is why it tells me that my dates are not regularly spaced? Reading in the forum I saw that a possible solution is to create my own time variable (https://www.statalist.org/forums/for...gularly-spaced ) like this:

egen time = group(date), label

and then use

xtset entity time

and run

xtscc $y $x i.entity i.year

Do you think this correct for my specific problem? If not, do you have any suggestion on how to solve my problem?

And the lag option is clear now...

Thanks again in advance!

[Joro Kolev]

I do not see your data, so I do not know. If you want post a sample of your data using the command -dataex-.

The -egen- is not likely to work, because it does not know about the ordering in your data.

[Viridiana Corona]

Joro Kolev ok! I am new using this forum so I hope this big data set is not so disturbing. Thank you very much!

* Example generated by -dataex-. To install: ssc install dataex
clear
input float(date entity y x1 x2 year)
18809 1   19.029999 270.81 -2.73 2011
18812 1        19.1 270.81 -2.73 2011
18813 1       22.18 270.81 -2.73 2011
18814 1       20.64 270.81 -2.73 2011
18815 1       22.04 270.81 -2.73 2011
18816 1       20.75 270.81 -2.73 2011
18819 1       20.65 270.81 -2.73 2011
18820 1       20.33 270.81 -2.73 2011
18821 1       21.29 270.81 -2.73 2011
18822 1       21.29 270.81 -2.73 2011
18823 1       20.51 270.81 -2.73 2011
18826 1       20.05 270.81 -2.73 2011
18827 1       20.82 270.81 -2.73 2011
18828 1       20.82 270.81 -2.73 2011
18829 1       21.06 270.81 -2.73 2011
18830 1       21.15 270.81 -2.73 2011
18833 1       20.84 270.81 -2.73 2011
18834 1       20.51 270.81 -2.73 2011
18835 1        19.9 270.81 -2.73 2011
18836 1        19.9 270.81 -2.73 2011
18837 1        19.9 270.81 -2.73 2011
18840 1       20.52 270.81 -2.73 2011
18841 1       19.43 270.81 -2.73 2011
18842 1       19.04 270.81 -2.73 2011
18843 1   18.990002 270.81 -2.73 2011
18844 1       18.23 270.81 -2.73 2011
18847 1   17.849998 270.81 -2.73 2011
18848 1       18.79 270.81 -2.73 2011
18849 1       19.53 270.81 -2.73 2011
18850 1       19.76 270.81 -2.73 2011
18851 1       19.76 270.81 -2.73 2011
18854 1       19.29 270.81 -2.73 2011
18855 1   18.849998 270.81 -2.73 2011
18856 1       20.57 270.81 -2.73 2011
18857 1       20.06 270.81 -2.73 2011
18858 1       20.18 270.81 -2.73 2011
18861 1       20.18 270.81 -2.73 2011
18862 1       21.92 270.81 -2.73 2011
18863 1       22.59 270.81 -2.73 2011
18864 1       21.99 270.81 -2.73 2011
18865 1       22.02 270.81 -2.73 2011
18868 1       22.82 270.81 -2.73 2011
18869 1       23.24 270.81 -2.73 2011
18870 1       23.76 270.81 -2.73 2011
18871 1       23.78 270.81 -2.73 2011
18872 1       23.08 270.81 -2.73 2011
18875 1       22.86 270.81 -2.73 2011
18876 1       22.09 270.81 -2.73 2011
18877 1       22.06 270.81 -2.73 2011
18878 1       22.35 270.81 -2.73 2011
18879 1       21.62 270.81 -2.73 2011
18882 1       21.81 270.81 -2.73 2011
18883 1       21.89 270.81 -2.73 2011
18884 1       21.18 270.81 -2.73 2011
18885 1       21.67 270.81 -2.73 2011
18886 1       19.93 270.81 -2.73 2011
18889 1       19.84 270.81 -2.73 2011
18890 1       20.34 270.81 -2.73 2011
18891 1       19.97 270.81 -2.73 2011
18892 1        19.3 270.81 -2.73 2011
18893 1       20.59 270.81 -2.73 2011
18896 1       18.96 270.81 -2.73 2011
18897 1   19.009998 270.81 -2.73 2011
18898 1       20.15 270.81 -2.73 2011
18899 1       21.13 270.81 -2.73 2011
18900 1       20.25 270.81 -2.73 2011
18904 1   18.939999 270.81 -2.73 2011
18905 1       19.42 270.81 -2.73 2011
18906 1       19.42 270.81 -2.73 2011
18907 1       19.25 270.81 -2.73 2011
18910 1        19.6 270.81 -2.73 2011
18911 1       19.57 270.81 -2.73 2011
18912 1       20.06 270.81 -2.73 2011
18913 1       19.48 270.81 -2.73 2011
18914 1       19.45 270.81 -2.73 2011
18917 1   18.919998 270.81 -2.73 2011
18918 1       18.91 270.81 -2.73 2011
18919 1       18.61 270.81 -2.73 2011
18920 1       18.45 270.81 -2.73 2011
18921 1       19.04 270.81 -2.73 2011
18924 1       18.77 270.81 -2.73 2011
18925 1       18.64 270.81 -2.73 2011
18926 1       18.54 270.81 -2.73 2011
18927 1       19.15 270.81 -2.73 2011
18928 1       18.86 270.81 -2.73 2011
18931 1       19.02 270.81 -2.73 2011
18932 1       18.09 270.81 -2.73 2011
18933 1   17.619999 270.81 -2.73 2011
18934 1       18.14 270.81 -2.73 2011
18935 1   18.060001 270.81 -2.73 2011
18938 1       19.33 270.81 -2.73 2011
18939 1       19.16 270.81 -2.73 2011
18940 1       17.71 270.81 -2.73 2011
18941 1   17.919998 270.81 -2.73 2011
18942 1   18.169998 270.81 -2.73 2011
18945 1   17.810001 270.81 -2.73 2011
18946 1   17.529999 270.81 -2.73 2011
18947 1   17.380001 270.81 -2.73 2011
18948 1       17.23 270.81 -2.73 2011
18949 1       15.96 270.81 -2.73 2011
18952 1       15.31 270.81 -2.73 2011
18953 1       15.45 270.81 -2.73 2011
18954 1       14.47 270.81 -2.73 2011
18955 1       14.32 270.81 -2.73 2011
18956 1       13.03 270.81 -2.73 2011
18959 1       13.34 270.81 -2.73 2011
18960 1   12.150002 270.81 -2.73 2011
18961 1       13.23 270.81 -2.73 2011
18962 1       12.45 270.81 -2.73 2011
18963 1   12.580002 270.81 -2.73 2011
18966 1       11.81 270.81 -2.73 2011
18967 1       11.87 270.81 -2.73 2011
18968 1       12.07 270.81 -2.73 2011
18969 1       13.02 270.81 -2.73 2011
18970 1       13.28 270.81 -2.73 2011
18973 1       13.05 270.81 -2.73 2011
18974 1       12.86 270.81 -2.73 2011
18975 1   12.349998 270.81 -2.73 2011
18976 1       11.46 270.81 -2.73 2011
18977 1       11.63 270.81 -2.73 2011
18980 1    9.689999 270.81 -2.73 2011
18981 1   11.169998 270.81 -2.73 2011
18982 1       10.71 270.81 -2.73 2011
18983 1       11.32 270.81 -2.73 2011
18984 1       11.12 270.81 -2.73 2011
18988 1       11.09 270.81 -2.73 2011
18989 1    9.689999 270.81 -2.73 2011
18990 1    9.860001 270.81 -2.73 2011
18991 1    8.450001 270.81 -2.73 2011
19176 1    9.849998 159.07  -.35 2012
19177 1   10.379997 159.07  -.35 2012
19178 1       10.23 159.07  -.35 2012
19179 1       10.43 159.07  -.35 2012
19180 1   10.649998 159.07  -.35 2012
19183 1       10.05 159.07  -.35 2012
19184 1   10.219997 159.07  -.35 2012
19185 1    9.899998 159.07  -.35 2012
19186 1        9.75 159.07  -.35 2012
19187 1        9.82 159.07  -.35 2012
19190 1    9.869999 159.07  -.35 2012
19191 1         9.5 159.07  -.35 2012
19192 1    9.689999 159.07  -.35 2012
19193 1    9.549999 159.07  -.35 2012
19194 1        9.68 159.07  -.35 2012
19197 1    9.259998 159.07  -.35 2012
19198 1    9.289997 159.07  -.35 2012
19199 1        9.16 159.07  -.35 2012
19200 1    9.349998 159.07  -.35 2012
19201 1    9.439999 159.07  -.35 2012
19204 1    9.360001 159.07  -.35 2012
19205 1    9.699997 159.07  -.35 2012
19206 1    9.939999 159.07  -.35 2012
19207 1        9.77 159.07  -.35 2012
19208 1        9.98 159.07  -.35 2012
19211 1    9.919998 159.07  -.35 2012
19212 1    9.919998 159.07  -.35 2012
19213 1          10 159.07  -.35 2012
19214 1    9.849998 159.07  -.35 2012
19215 1    9.919998 159.07  -.35 2012
19218 1       10.44 159.07  -.35 2012
19219 1       11.25 159.07  -.35 2012
19220 1   10.579998 159.07  -.35 2012
19221 1       10.43 159.07  -.35 2012
19222 1        9.82 159.07  -.35 2012
19225 1    9.639999 159.07  -.35 2012
19226 1    9.849998 159.07  -.35 2012
19227 1   10.239998 159.07  -.35 2012
19228 1   10.469997 159.07  -.35 2012
19229 1       10.28 159.07  -.35 2012
19232 1    9.919998 159.07  -.35 2012
19233 1    9.739998 159.07  -.35 2012
19234 1    9.389999 159.07  -.35 2012
19235 1    9.389999 159.07  -.35 2012
19236 1    9.369999 159.07  -.35 2012
19239 1        9.32 159.07  -.35 2012
19240 1        9.57 159.07  -.35 2012
19241 1        9.34 159.07  -.35 2012
19242 1   10.099998 159.07  -.35 2012
19243 1        9.66 159.07  -.35 2012
19246 1        9.43 159.07  -.35 2012
19247 1           9 159.07  -.35 2012
19248 1    9.099998 159.07  -.35 2012
19249 1    8.789997 159.07  -.35 2012
19250 1    8.969997 159.07  -.35 2012
19253 1        8.75 159.07  -.35 2012
19254 1        8.68 159.07  -.35 2012
19255 1        8.59 159.07  -.35 2012
19256 1        8.27 159.07  -.35 2012
19257 1    8.189999 159.07  -.35 2012
19260 1    7.459999 159.07  -.35 2012
19261 1        7.34 159.07  -.35 2012
19262 1    7.599998 159.07  -.35 2012
19263 1    7.199997 159.07  -.35 2012
19264 1    6.559998 159.07  -.35 2012
19267 1    6.329998 159.07  -.35 2012
19268 1        6.27 159.07  -.35 2012
19270 1           7 159.07  -.35 2012
19271 1    7.849998 159.07  -.35 2012
19274 1    7.119999 159.07  -.35 2012
19275 1    6.719997 159.07  -.35 2012
19276 1        6.57 159.07  -.35 2012
19277 1    6.860001 159.07  -.35 2012
19278 1    6.610001 159.07  -.35 2012
19281 1        6.09 159.07  -.35 2012
19282 1    6.299999 159.07  -.35 2012
19283 1        6.41 159.07  -.35 2012
19284 1    7.129997 159.07  -.35 2012
19285 1    7.469997 159.07  -.35 2012
19288 1         7.5 159.07  -.35 2012
19289 1        7.07 159.07  -.35 2012
19290 1    6.689999 159.07  -.35 2012
19291 1    6.860001 159.07  -.35 2012
19292 1    7.079998 159.07  -.35 2012
19295 1        6.57 159.07  -.35 2012
19296 1    6.059998 159.07  -.35 2012
19297 1    6.329998 159.07  -.35 2012
19298 1        5.75 159.07  -.35 2012
19299 1    6.629997 159.07  -.35 2012
19302 1        5.82 159.07  -.35 2012
19303 1    6.329998 159.07  -.35 2012
19304 1        5.59 159.07  -.35 2012
19305 1        6.23 159.07  -.35 2012
19306 1    5.919998 159.07  -.35 2012
19309 1        7.07 159.07  -.35 2012
19310 1    6.639999 159.07  -.35 2012
19311 1    6.699997 159.07  -.35 2012
19312 1    6.529999 159.07  -.35 2012
19313 1        6.23 159.07  -.35 2012
19316 1    5.889999 159.07  -.35 2012
19317 1    5.439999 159.07  -.35 2012
19318 1    5.209999 159.07  -.35 2012
19319 1        5.32 159.07  -.35 2012
19320 1    6.059998 159.07  -.35 2012
19323 1        5.73 159.07  -.35 2012
19324 1    5.279999 159.07  -.35 2012
19325 1    5.559998 159.07  -.35 2012
19326 1    5.099998 159.07  -.35 2012
19327 1        5.34 159.07  -.35 2012
19330 1        6.25 159.07  -.35 2012
19331 1    5.919998 159.07  -.35 2012
19332 1    5.739998 159.07  -.35 2012
19333 1    5.289997 159.07  -.35 2012
19334 1        5.48 159.07  -.35 2012
19337 1    4.799999 159.07  -.35 2012
19338 1    4.329998 159.07  -.35 2012
19339 1   4.4799995 159.07  -.35 2012
19340 1   4.1800003 159.07  -.35 2012
19341 1   3.9799995 159.07  -.35 2012
19344 1   3.3499985 159.07  -.35 2012
19345 1   3.5999985 159.07  -.35 2012
19346 1   3.5200005 159.07  -.35 2012
19347 1    3.549999 159.07  -.35 2012
19348 1    2.869999 159.07  -.35 2012
19354 1  -2.1800003 159.07  -.35 2012
19355 1  -1.0200005 159.07  -.35 2012
18840 2    8.540001 272.02   2.7 2011
18841 2    8.630001 272.02   2.7 2011
18842 2    7.849998 272.02   2.7 2011
18843 2    7.799999 272.02   2.7 2011
18844 2        7.16 272.02   2.7 2011
18847 2    7.549999 272.02   2.7 2011
18848 2    7.489998 272.02   2.7 2011
18849 2    7.919998 272.02   2.7 2011
18850 2        7.77 272.02   2.7 2011
18851 2    7.700001 272.02   2.7 2011
18854 2    7.919998 272.02   2.7 2011
18855 2    8.220001 272.02   2.7 2011
18856 2        7.75 272.02   2.7 2011
18857 2    7.470001 272.02   2.7 2011
18858 2    7.619999 272.02   2.7 2011
18861 2    8.549999 272.02   2.7 2011
18862 2       10.18 272.02   2.7 2011
18863 2       10.22 272.02   2.7 2011
18864 2    9.989998 272.02   2.7 2011
18865 2          10 272.02   2.7 2011
18868 2   10.349998 272.02   2.7 2011
18869 2       11.41 272.02   2.7 2011
18870 2   10.759998 272.02   2.7 2011
18871 2   11.079998 272.02   2.7 2011
18872 2       10.02 272.02   2.7 2011
18875 2       10.11 272.02   2.7 2011
18876 2        11.2 272.02   2.7 2011
18877 2       10.46 272.02   2.7 2011
18878 2       11.05 272.02   2.7 2011
18879 2       10.04 272.02   2.7 2011
18882 2    9.649998 272.02   2.7 2011
18883 2        9.66 272.02   2.7 2011
18884 2    9.439999 272.02   2.7 2011
18885 2    9.639999 272.02   2.7 2011
18886 2    8.619999 272.02   2.7 2011
18889 2        8.23 272.02   2.7 2011
18890 2        8.82 272.02   2.7 2011
18891 2    8.279999 272.02   2.7 2011
18892 2        7.48 272.02   2.7 2011
18893 2    6.849998 272.02   2.7 2011
18896 2    6.939999 272.02   2.7 2011
18897 2    6.700001 272.02   2.7 2011
18898 2    6.880001 272.02   2.7 2011
18899 2        7.59 272.02   2.7 2011
18900 2    7.360001 272.02   2.7 2011
18904 2    5.299999 272.02   2.7 2011
18905 2    6.130001 272.02   2.7 2011
18906 2        5.68 272.02   2.7 2011
18907 2    6.200001 272.02   2.7 2011
18910 2        7.59 272.02   2.7 2011
18911 2    6.759998 272.02   2.7 2011
18912 2    7.139999 272.02   2.7 2011
18913 2    6.349998 272.02   2.7 2011
18914 2    6.619999 272.02   2.7 2011
18917 2    7.549999 272.02   2.7 2011
18918 2        6.98 272.02   2.7 2011
18919 2    6.950001 272.02   2.7 2011
18920 2        6.32 272.02   2.7 2011
18921 2    6.459999 272.02   2.7 2011
18924 2    6.889999 272.02   2.7 2011
18925 2           7 272.02   2.7 2011
18926 2    7.169998 272.02   2.7 2011
18927 2        6.52 272.02   2.7 2011
18928 2        6.41 272.02   2.7 2011
18931 2    6.529999 272.02   2.7 2011
18932 2    5.799999 272.02   2.7 2011
18933 2    5.639999 272.02   2.7 2011
18934 2    5.989998 272.02   2.7 2011
18935 2    6.279999 272.02   2.7 2011
18938 2    7.399998 272.02   2.7 2011
18939 2    7.509998 272.02   2.7 2011
18940 2    6.360001 272.02   2.7 2011
18941 2    5.899998 272.02   2.7 2011
18942 2        5.84 272.02   2.7 2011
18945 2    5.529999 272.02   2.7 2011
18946 2        5.27 272.02   2.7 2011
18947 2        5.52 272.02   2.7 2011
18948 2    5.239998 272.02   2.7 2011
18949 2    4.899998 272.02   2.7 2011
18952 2    4.209999 272.02   2.7 2011
18953 2        4.82 272.02   2.7 2011
18954 2   4.3999977 272.02   2.7 2011
18955 2   3.7299995 272.02   2.7 2011
18956 2    3.040001 272.02   2.7 2011
18959 2   3.3499985 272.02   2.7 2011
18960 2    2.329998 272.02   2.7 2011
18961 2        3.07 272.02   2.7 2011
18962 2    2.130001 272.02   2.7 2011
18963 2   2.1399994 272.02   2.7 2011
18966 2   1.5099983 272.02   2.7 2011
18967 2   1.7999992 272.02   2.7 2011
18968 2    2.369999 272.02   2.7 2011
18969 2           3 272.02   2.7 2011
18970 2    3.200001 272.02   2.7 2011
18973 2    2.700001 272.02   2.7 2011
18974 2    2.950001 272.02   2.7 2011
18975 2    1.959999 272.02   2.7 2011
18976 2    1.790001 272.02   2.7 2011
18977 2    1.459999 272.02   2.7 2011
18980 2   1.6499977 272.02   2.7 2011
18981 2   2.0599976 272.02   2.7 2011
18982 2    1.869999 272.02   2.7 2011
18983 2    2.119999 272.02   2.7 2011
18984 2    2.380001 272.02   2.7 2011
18988 2        2.59 272.02   2.7 2011
18989 2    1.369999 272.02   2.7 2011
18990 2   1.6100006 272.02   2.7 2011
18991 2    .3600006 272.02   2.7 2011
18994 2   -.3500023 272.02   2.7 2012
18995 2  -1.2999992 272.02   2.7 2012
18996 2  -1.9700012 272.02   2.7 2012
18997 2  -1.5499992 272.02   2.7 2012
18998 2   -2.209999 272.02   2.7 2012
19001 2  -1.0400009 272.02   2.7 2012
19002 2   -1.790001 272.02   2.7 2012
19003 2   -.6800003 272.02   2.7 2012
19004 2  -1.1399994 272.02   2.7 2012
19005 2   -1.459999 272.02   2.7 2012
19008 2  -3.6100006 272.02   2.7 2012
19009 2  -4.4300003 272.02   2.7 2012
19010 2  -4.3199997 272.02   2.7 2012
19011 2  -4.0200005 272.02   2.7 2012
19012 2       -3.18 272.02   2.7 2012
19015 2       -2.91 272.02   2.7 2012
19016 2  -3.1399994 272.02   2.7 2012
19017 2   -2.549999 272.02   2.7 2012
19018 2   -2.740002 272.02   2.7 2012
19019 2  -.27000046 272.02   2.7 2012
19022 2    1.239998 272.02   2.7 2012
19023 2 -.010002136 272.02   2.7 2012
19206 2        7.82 106.95    .2 2012
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19211 2    8.330002 106.95    .2 2012
19212 2    8.709999 106.95    .2 2012
19213 2    8.369999 106.95    .2 2012
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19225 2    8.529999 106.95    .2 2012
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19253 2    7.110001 106.95    .2 2012
19254 2    6.669998 106.95    .2 2012
19255 2    5.869999 106.95    .2 2012
19256 2        6.23 106.95    .2 2012
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19260 2    5.080002 106.95    .2 2012
19261 2    5.790001 106.95    .2 2012
19262 2        5.52 106.95    .2 2012
19263 2    5.709999 106.95    .2 2012
19264 2    4.790001 106.95    .2 2012
19267 2    4.919998 106.95    .2 2012
19268 2   4.6800003 106.95    .2 2012
19270 2    5.380001 106.95    .2 2012
19271 2    6.380001 106.95    .2 2012
19274 2    6.130001 106.95    .2 2012
19275 2    6.139999 106.95    .2 2012
19276 2    6.209999 106.95    .2 2012
19277 2    5.759998 106.95    .2 2012
19278 2        5.68 106.95    .2 2012
19281 2   4.6899986 106.95    .2 2012
19282 2        5.41 106.95    .2 2012
19283 2    5.599998 106.95    .2 2012
19284 2    6.029999 106.95    .2 2012
19285 2        6.41 106.95    .2 2012
19288 2        6.57 106.95    .2 2012
19289 2        6.07 106.95    .2 2012
19290 2    6.130001 106.95    .2 2012
19291 2    6.400002 106.95    .2 2012
19292 2    6.509998 106.95    .2 2012
19295 2    6.549999 106.95    .2 2012
19296 2    6.150002 106.95    .2 2012
19297 2    6.740002 106.95    .2 2012
19298 2    6.259998 106.95    .2 2012
19299 2        6.18 106.95    .2 2012
19302 2    5.439999 106.95    .2 2012
19303 2    6.080002 106.95    .2 2012
19304 2    5.889999 106.95    .2 2012
19305 2    6.139999 106.95    .2 2012
19306 2        5.68 106.95    .2 2012
19309 2    6.389999 106.95    .2 2012
19310 2    5.709999 106.95    .2 2012
19311 2    5.950001 106.95    .2 2012
19312 2        5.77 106.95    .2 2012
19313 2    5.200001 106.95    .2 2012
19316 2   4.6899986 106.95    .2 2012
19317 2        4.98 106.95    .2 2012
19318 2   4.7599983 106.95    .2 2012
19319 2         4.5 106.95    .2 2012
19320 2        5.07 106.95    .2 2012
19323 2    4.529999 106.95    .2 2012
19324 2   4.4799995 106.95    .2 2012
19325 2    4.880001 106.95    .2 2012
19326 2   4.6800003 106.95    .2 2012
19327 2   4.1800003 106.95    .2 2012
19330 2    5.060001 106.95    .2 2012
19331 2    4.830002 106.95    .2 2012
19332 2        4.82 106.95    .2 2012
19333 2    4.549999 106.95    .2 2012
19334 2         4.5 106.95    .2 2012
19337 2    4.700001 106.95    .2 2012
19338 2   4.3100014 106.95    .2 2012
19339 2   4.1500015 106.95    .2 2012
19340 2    3.580002 106.95    .2 2012
19341 2   3.5200005 106.95    .2 2012
19344 2           3 106.95    .2 2012
19345 2    3.619999 106.95    .2 2012
19346 2    3.549999 106.95    .2 2012
19347 2    3.549999 106.95    .2 2012
19348 2   3.5200005 106.95    .2 2012
19354 2    2.130001 106.95    .2 2012
19355 2   3.0200005 106.95    .2 2012
end
format %td date
label var x1 "Variance_offpeak_at_Delivery" 
label var x2 "Skew_offpeak_at_Delivery"

xtset entity date

xtscc y x1 x2 i.entity i.year

[Joro Kolev]

One thing that you can do, is assume that you do not have an interruption in your data, and that the 2012 data comes immediately after 2011 data. It is a bit dodgy, but this is basically what we do when we assume that there was no weekend and Monday comes immediately after Friday:

. sort entity date

. by entity: gen time = _n

. xtset entity time
       panel variable:  entity (unbalanced)
        time variable:  time, 1 to 255
                delta:  1 unit

. xtscc y x1 x2 i.entity i.year

Regression with Driscoll-Kraay standard errors   Number of obs     =       489
Method: Pooled OLS                               Number of groups  =         2
Group variable (i): entity                       F(  4,   254)     =    179.15
maximum lag: 4                                   Prob > F          =    0.0000
                                                 R-squared         =    0.8113
                                                 Root MSE          =    2.7156

------------------------------------------------------------------------------
             |             Drisc/Kraay
           y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |  -.0205242    .005398    -3.80   0.000    -.0311548   -.0098936
          x2 |  -1.932772   .2114677    -9.14   0.000    -2.349225   -1.516319
             |
      entity |
          1  |          0  (empty)
          2  |  -1.384419   .5995941    -2.31   0.022    -2.565228   -.2036098
             |
        year |
       2011  |          0  (empty)
       2012  |  -8.294924   .7776757   -10.67   0.000    -9.826438    -6.76341
             |
       _cons |   18.50673   1.692456    10.93   0.000      15.1737    21.83976
------------------------------------------------------------------------------


. xtscc y x1 x2 i.entity i.year, lag(3)

Regression with Driscoll-Kraay standard errors   Number of obs     =       489
Method: Pooled OLS                               Number of groups  =         2
Group variable (i): entity                       F(  4,   254)     =    204.07
maximum lag: 3                                   Prob > F          =    0.0000
                                                 R-squared         =    0.8113
                                                 Root MSE          =    2.7156

------------------------------------------------------------------------------
             |             Drisc/Kraay
           y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |  -.0205242   .0050438    -4.07   0.000    -.0304571   -.0105913
          x2 |  -1.932772   .1915948   -10.09   0.000    -2.310089   -1.555455
             |
      entity |
          1  |          0  (empty)
          2  |  -1.384419   .5494828    -2.52   0.012    -2.466542   -.3022964
             |
        year |
       2011  |          0  (empty)
       2012  |  -8.294924   .7233272   -11.47   0.000    -9.719407   -6.870441
             |
       _cons |   18.50673   1.577624    11.73   0.000     15.39984    21.61362
------------------------------------------------------------------------------


.

[Viridiana Corona]

Joro Kolev this works well! Thank you