Hi Statalist,

Recently I am using the state-level mental health data and trying to find its association with state-level literacy. However, I have difficulty understanding the regression results when I use different commands and therefore list them below:
1. Panel regression with fixed effects (I first run a baseline regression and only include y and x: xtreg mental literacy, fe)
In this regression, we can see that the coefficient of x is significantly negative
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2.Panel regression with year fixed effects ( I use: xtreg y x i.year, fe, which gives me the same results when I use xtreg y x i.year i.state)
In this regression, we can see that the coefficient of x is no longer significant, my understanding is that the time fixed effect can be the explanation and 'absorb' the significance of x
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3.I also use a 'reg y x i.state i.year, r' and obtain the same results
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Above all, I want to ask what is the difference between 'xtreg y x, fe' and 'xtreg y x i.year, fe'. Does the first one controls only the state fixed effect and the second controls both state and time fixed effect? It is hard for me to understand why the first regression shows significant coefficient of x, but the coefficients are insignificant for regression 2 and 3. To be more specific, How should I interpret the first regression (xtreg y x, fe)? Look forward to your reply!

Best regards,
Suyi Liu