Dear Stata Users,

Please, help me with the following issue. I have the following regression:
Code:
reghdfe Y  Treated Shock Shock_Treated if inrange(year, 1993, 1998), ab(industry year) vce(cluster firm)
Y is a continuous variable, “Treated” is a count variable between 1 and 10, which does not change within the years. “Shock” is equal to 1 if year>1995. “Shock_Treated” is multiplication of Shock*Treated. Once I run the regression above the results omit “Shock” variable. I present you a sample of my data. (One you run the above code both “Shock” and “Treated” are dropped, but in the main data only “Shock” is dropped from final results).



Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input long firm double year float Y byte(industry Treated) float(Shock Shock_Treated)
1004 1991 1.2162784 50 4 0 0
1004 1995 1.2572833 50 4 0 0
1004 1996  1.363323 50 4 1 4
1004 1997 1.7276955 50 4 1 4
1004 1998  1.538592 50 4 1 4
1004 1999 1.0476477 50 4 1 4
1004 2000  .7649824 50 4 1 4
1004 2001  .9150212 50 4 1 4
1004 2002 1.1913382 50 4 1 4
1004 2005  1.227632 50 4 1 4
1004 2006 1.0054921 50 4 1 4
1004 2007 1.1750593 50 4 1 4
1004 2008  .6300365 50 4 1 4
1004 2009   .629995 50 4 1 4
1004 2010  .8295698 50 4 1 4
1004 2012 .44032055 50 4 1 4
1004 2013  .7643967 50 4 1 4
1004 2014  .8717297 50 4 1 4
1009 1991 1.3012563 34 . 0 .
1009 1992   .470591 34 . 0 .
1009 1993  .8682343 34 . 0 .
1009 1994  .6791557 34 . 0 .
1013 1991 2.2695959 36 9 0 0
1013 1992  3.367003 36 9 0 0
1013 1993   2.77735 36 9 0 0
1013 1994  5.796917 36 9 0 0
1013 1995  3.448212 36 9 0 0
1013 1996 1.8293723 36 9 1 9
1013 1997 1.4910988 36 9 1 9
1013 1998  .3259064 36 9 1 9
1013 1999 .33928615 36 9 1 9
1013 2000 .53387076 36 9 1 9
1013 2001  .1587742 36 9 1 9
1013 2002  .1671926 36 9 1 9
1013 2003 .21304762 36 9 1 9
1013 2004  .7399237 36 9 1 9
1013 2005  .2417438 36 9 1 9
1013 2006 1.1855857 36 9 1 9
1013 2007 1.0501765 36 9 1 9
1013 2008  1.397972 36 9 1 9
1013 2009 1.0364065 36 9 1 9
1013 2010 1.8913915 36 9 1 9
1034 1991 1.6884944 28 5 0 0
1034 1992 1.1721294 28 5 0 0
1034 1993 1.4077696 28 5 0 0
1034 1994 1.1729547 28 5 0 0
1034 1995 1.0960381 28 5 0 0
1034 1996 1.0372037 28 5 1 5
1034 1997 1.0582129 28 5 1 5
1034 1998 1.1831522 28 5 1 5
1034 1999 1.0476207 28 5 1 5
1034 2000 1.1992847 28 5 1 5
1034 2001 1.3284056 28 5 1 5
1034 2002  .8749366 28 5 1 5
1034 2003  .7831826 28 5 1 5
1034 2004  .8301051 28 5 1 5
1034 2005 1.0752139 28 5 1 5
1034 2006  .7738963 28 5 1 5
1034 2007  .9605774 28 5 1 5
1036 1997  .8874638 34 . 1 .
1036 1998  .9423323 34 . 1 .
1036 1999 1.0153537 34 . 1 .
1036 2000  .8182853 34 . 1 .
1038 1995 1.1803118 78 5 0 0
1038 1996  1.581189 78 5 1 5
1038 1997 1.0792153 78 5 1 5
1038 1998 2.0019813 78 5 1 5
1038 1999  4.345664 78 5 1 5
1038 2003 1.5540975 78 5 1 5
1045 1991 1.1612418 45 6 0 0
1045 1992  1.326292 45 6 0 0
1045 1993 1.4623973 45 6 0 0
1045 1994 1.6677955 45 6 0 0
1045 1995 1.1966676 45 6 0 0
1045 1996 1.2245398 45 6 1 6
1045 1997 1.3347863 45 6 1 6
1045 1998  1.306764 45 6 1 6
1045 1999 2.3600025 45 6 1 6
1045 2000   1.05413 45 6 1 6
1045 2001 .54234457 45 6 1 6
1045 2002   .924228 45 6 1 6
1045 2003 4.5518956 45 6 1 6
1050 2014  .9655685 35 . 1 .
1050 2015  .9960567 35 . 1 .
1054 1992  .9048549 73 . 0 .
1054 1993  .9987014 73 . 0 .
1055 1992  .8235564 35 4 0 0
1055 1993 .57817215 35 4 0 0
1055 1994  .9342234 35 4 0 0
1055 1995  .6281301 35 4 0 0
1056 1999 1.7255015 38 . 1 .
1056 2000 1.7177165 38 . 1 .
1056 2001 3.9316046 38 . 1 .
1056 2002 .54016626 38 . 1 .
1056 2003 1.5078555 38 . 1 .
1056 2004 1.4007237 38 . 1 .
1056 2005 1.4041744 38 . 1 .
1056 2006 1.1834977 38 . 1 .
1072 1997 2.2050424 36 . 1 .
1072 1998 1.6423452 36 . 1 .
end