Hello all,

I have a paneldataset ranging from 2002 until 2019 containing ~ 500 companies. My panelid is the company(company_key).
I want to include year and industry FE in my regression. Since there are several industry observations per i cannot go xtstet industry_key year
Thats why i went for pooled ols with dummies.
I now need to cluster on company and year. How do i do that?

I created a grouped cluster but i am not sure if this is correct
Code:
egen cluster = group(company_key year)
Then i ran this
Code:
regress firm_beta_w esg_single_lag1 i.industry_key i.year, vce (cluster cluster)
Thanks, Patrick