Hi Stata community,
I have an unbalanced panel data set for the years 1992-2018 across different years from various industries classified through 4-digit SIC codes. I tried running firm, year and industry fixed effects models separately using the -areg- commands, which gave me decent results. Now my supervisor wants me to run a fixed effect model with two key variables combined (year and industry), with clustered standard errors by firms. Could anyone give me an idea on what sort of codes would be appropriate?
I ran the following command for the single variable (firm, industry and year) fixed effect models individually:
xtset company_id fiscalyear
areg DV IV1 IV2 IV3, absorb (fiscalyear)
areg DV IV1 IV2 IV3, absorb (company_id)
areg DV IV1 IV2 IV3, absorb (sic)
Looking forward to your suggestions! Cheers!
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