I'm having an issue with fixed effects estimation of an unbalanced panel.
Due to various issues, mostly related to the smallness of my dataset, when
I run fixed effects including the year dummies and cluster robust standard
errors, STATA won't calculate the F statistic for the model. If I remove
the year dummies or I run the regression without cluster-robust SE it
works, but then I'm losing important parts of the model. The year dummies
are jointly significant, so I don't want to remove them, but I also need
cluster robust standard errors to control for heteroskedasticity and serial
correlation that I have in my data. Any suggestions on how I should handle
this? Is there a way around this problem, or do I have to choose between
year dummies and cluster-robustness?
Thanks,
Eric
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