Collinearity with time dummies in FE, but not in RE

[Dan Eran]

Hey,

I'm trying to fit a panel regression.
I start by using:

xtset Year country_id

I then type:

xtreg Y X i.Year, re robust

and:

xtreg Y X i.Year, fe robust

Everything works fine with the RE model.
When I use the FE model, however, Stata drops all the time dummies:
"note: 2004.Year omitted because of collinearity, note: 2005.Year omitted because of collinearity... note: 2020.Year omitted because of collinearity."
What might be the reason for that? How can I fix the issue?
It is important to note that I have changed many Xs and Ys.

Many thanks,
Dan

[Carlo Lazzaro]

Dan:
welcome to this forum.
Collinearity with the fixed effect?

[Fei Wang]

Dan, error occurs in the first line, try

xtset country_id Year

[Carlo Lazzaro]

Dan:
if what Fei wisely spotted is actually an error in your Stata code (and not a copy and paste typo), your -re- regression outcome table should have reported 0 values for both -sigma_u- and -rho-.

[Dan Eran]

It worked (:
Thank you very much!