Industry and year fixed effects with standard errors clustered at firm level

Hi

I have a panel dataset and am trying to carry out a regression with industry and year fixed effects. Also, the standard errors are to be clustered at the firm level.
I tried running the same using 'reg', 'xtreg' as well as 'areg' commands but am encountering a few issues:

(1) Using 'reg' command:

Code:

reg dependent_variable independent_variables i.year i.industry, vce(cluster firm)

Issue- I do get the regression results but the F-statistic value is reported as blank.

(2) Using 'xtreg' command:

Code:

xtset industry

Code:

xtreg dependent_variable independent_variables i.year, fe vce(cluster firm)

Issue- Stata returns an error stating 'panels are not nested within clusters'.

(3) Using 'areg' command:

Code:

areg dependent_variable independent_variables i.year, absorb(industry) vce(cluster firm)

Issue- Here too, I do get the regression results. However, the value of R² is pretty high at 0.73.

I would be grateful to you if you could please let me know why am I encountering those issues and how can I resolve them.
Also, out of the three, which approach will be the best one to run the above-stated regression.

Share on FacebookPlus on Google+