factor and time series variable not allowed in ivregdhfe cluster

[Chengmou Lei]

Hi all,

I'm trying to instrument a fixed effect model with variable Z, I'm using ivregdhfe from SSC
The code I'm using is:

ivreghdfe Y (X= Z), absorb(i.state#i.occupation i.state#i.year i.occupation#i.year) vce(cluster i.occupation#i.state) first

The error I get is:

(MWFE estimator converged in 29 iterations)
factor-variable and time-series operators not allowed

I try to run the command without cluster, and it executed succesfully so I suppose the problem is with cluster(). My occupation variable takes 400+ values, my state variable takes 47 values. How should I cluster at occupation-state level then?

Thank you!

[Chengmou Lei]

Hi all,

I found out what I can do, recode a group id for state-occupation combination, and put it in cluster()