Dear Statalist community,

Currently I am conducting an event study on ad hoc disclosures. The regression model I use contains some evidence for heteroscedasticity so I decided to use robust SE. Regrettably, Stata does not report an F-statistic in this case (when I use the “normal” –reg- command it does report it by the way).

I googled a lot and read other Statalist threads but they always report problems with singleton dummy variables. My model contains 17 dummy variables but none of them seems to be a singleton dummy variable. Also I don't get an error message or something like that. Does anybody have an idea what the problem might be?

The command I used to regress using robust SE is the following:
Code:
reg CAR_gesamt Regelpublizität Dividenden Aktienrückkauf Anleihe Kapitalerhöhung MA Kooperation Beteiligung Verkauf Personalveränderung Rechtssache Strategie Auftragseingang Insolvenz Sonstiges Zeit GeneralStandard Scale MarketCapln TotalAssetsln ReturnonAssets if n_disclosurecount_tag==1, vce(robust)


CAR_gesamt, MarketCapln, TotalAssetsln, ReturnonAssets and Zeit are numeric variables, the rest of them are dummy variables.

If anybody could help me I would be really grateful!


Thanks in advance,

Cecilia