Hi everyone,

I am running a panel regression on industry returns (49 Fama French industries) over time (1994-November until 2014-December). The (cross-sectional) industry identifier is industrynr and the time variable is Observation. I was trying to run this with the reghdfe command. I got an error message (see attachment) and can't resolve it for some reason.

Does anyone know how to resolve this?

Thanks in advance,

Daniel