Hello there,

i have paneldata form 2002 - 2019 from 505 companies. I need to perfom a industry and year FE regression.
First I have to test wether to used FE or RE. Therefore i perform the BP LM test and the Hausman test
BP LM does not work since i always receive an error (see below)
Code:
xtset id industry_key
      
quietly xtreg firm_beta_w esg_single_lag1 diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.industry_key i.year, re
insufficient observations
For the hausman i get this error quote (also for the RE regression)

Code:
xtset id year

quietly xtreg firm_beta_w esg_single_lag1 diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.industry_key i.year, fe

estimates store fixed

quietly xtreg firm_beta_w esg_single_lag1 diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.industry_key i.year, re
insufficient observations
This would be the compelte code for the BP LM

[CODE
]xtset id year
eg firm_beta_w esg_single_lag1 diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.industry_key i.year, re
xttest0
[/CODE]

and for the hausman

Code:
xtset id year
quietly xtreg firm_beta_w esg_single_lag1 diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.industry_key i.year, fe
estimates store fixed
quietly xtreg firm_beta_w esg_single_lag1 diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.industry_key i.year, re
estimates store random
hausman fixed random
did i specify my panel the wrong way? If i do xtset company_key year then everything works fine
I would appreciate some help
Thanks