Hi Everyone,
I am running a panel regression. My panel variable is fund-month. i.e. I have monthly returns for each fund.
I want to run a panel regression of fund returns on 4 factors and use the following code:
xtset fundno month
xtreg fund_return mktret smb hml mom, vce(cluster month)
I want to cluster my errors at each month because I suspect that errors are correlated at each time t across funds. However, I am getting following error:
panels are not nested within clusters
r(498);
I checked previous relevant discussions but could not find a similar problem. I only have one observation per fund and month. Can anyone explain me my mistake here? I appreciate your helps in advance.
Best,
Ulas
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