Dear forum,

I have a urgent question. I am writing my thesis about cross-border M&A. Hence, I use panel data . The literature often says, that they are using time and country fixed effects. The literature also states, that they cluster standard errors by time and country. How do I set up this in STATA correctly.

For the time being, I always used reg Y x i.timeFE, where timeFE is a dummy variable representing each year. However, since many regression results are in contrast to economic literature and logic, I am thinking that my STATA code is misleading.


Thank you in advance.