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st: Clustering and fixed effects
If I wish to run firm fixed effects in a panel data regression (firm x
years), an efficient way of doing this is "xtreg y x, i(firm)".
An alternative is "qui tab firm, gen dum" and then "reg y x dum*". The first
method I prefer as I don't see all of the coefficients on the dummy
variables (which I am not interested in) and so the log files are
I now wish to cluster standard errors by firm as well (since the FE only
removes any constant term). However, I cannot seem to use the "cluster"
command within xtreg: the only thing I can do is "reg y x dum*,
cluster(firm)". But with this method I see all of the coefficients on the
dummy variables, which I don't want to. Is there a way of having both
clustered standard errors and FE without seeing the FE coefficients?
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