Hi,

I am using the command reghdfe for two way clustering at the state and time levels. I have two types of models - one with fixed effects (both state and time fixed effects) and one without fixed effects. Both the models need to include two way clustering for standard errors. The problem I am facing is that the number of clusters in my models is small - 7 for states and 36 for the time period. So, reghdfe is not effective in this case by itself.

I came across a post that mentioned the use of suite(mwc) or suite(avar) within vce(cluster). However, when I try to use either of these, Stata shows an error: VCE options not supported and I'm not sure why this is the case and how can it be fixed?

Also, as mentioned, one of my models does not include fixed effects. What is the correct way of using reghdfe with two way clustering when fixed effects are not included in the model?

Thank you!