Could you please answer my questions about reghdfe command?




1. When I conducted estimation using reghdfe, the following error messages appears after estimation.




Warning: VCV matrix was non-positive semi-definite; adjustment from Cameron, Gelbach & Miller applied.
WARNING: Missing F statistic (dropped variables due to collinearity or too few clusters).




1) Could you please let me know the reason why these messages appeared?

2) Even though adjustment from Cameron, Gelbach & Miller is applied and F statistic is missing, are the estimates of coefficients and standard errors still valid?




2. I tried to estimate standard errors clustered by individuals (pubid) and states (state) because some respondents moved across states between survey waves. There are 8635 clusters for individuals and 49 clusters for states. But the estimation results show that standard errors are adjusted only for 49 clusters in individuals and states. Maybe this happened because most individuals did not move across states for the all of the targeted periods. However, it is sure that there are individuals who moved between states. Are the estimates of standard errors still valid?