Hello,

I am fairly new to Stata and I have a question which I hope can be answered via this forum.

I ran a simple OLS regression in the form
Code:
reg y1 x1 x2, robust
in which I added time dummies as independent variables for the years 2009-2019. Now I want to obtain 'the estimated variances of residuals' (sigma_hat^2) for each of the years. I think this means that I should run separate regressions for each of the years, excluding the others. However, I don't know how or where I can find the estimated variance of residuals of the different years?

Do I have to look at the Root MSE?

I hope someone can help me with this.

Kind regards,

Bas van den Boomen