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st: dummy variables with option cluster()

From   "Duy" <>
To   <>
Subject   st: dummy variables with option cluster()
Date   Fri, 6 May 2011 09:46:39 +0200

Dear all,

I have a set of variables for bond issuers and one goal of my regression is
to measure the effect of the issuers on the bonds' spreads .
Therefore, I computed a regression with issuer fixed effects generating
issuer dummies and in addition have the option cluster(issuer).

My command looks like this:
reg spread AA A BBB NR i.issuer, cluster(issuer)

Since stata drops the F-values in my model, I wanted to ask you if it is
wrong in terms of econometrics to cluster the variables if I already have
dummy variables?
Thank you for your help!

Kind regards,


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