Hello,

I run a regression to examine what has an impact on the decision to sell a stock on the stock market. In my regression I include time- and investor-fixed effects. But if I run my regression two dates got omitted because of collinearity (December 29, 1995 and November 22, 1996). I am not sure what to do and how to solve the issue. I am not even sure if this is even an issue.

I shortly explain which variables I used in the regression:
"sell": Dummy variable taking the value of 1 if a sale took place and zero otherwise
"gain": Dummy variable taking the value of 1 if the stock was sold with a gain
"ybeta": CAPM Beta of the stock
"retp": positive part of the return: max(return;0)
"retm": negative part of the return: min(return;0)
"mini": dummy variable taking the value of 1 if the stock is at its minimum in the last 30 days
"maxi": dummy variable taking the value of 1 if the stock is at its maximum in the last 30 days
"sqrhp": square root of the time the stock is hold (measured in days)
"logprc": logarithm of the purchase price
"dec": dummy variable taking the value of 1 if the stock is sold/hold in December


Maybe someone can help me understanding the note and how to deal with it.


Code:
.         xtreg sell i.gain##c.ybeta retp retm mini maxi sqrhp logprc i.dec##i.gain i.bdate, fe vce(cluster investor)
note: 1304.bdate omitted because of collinearity.
note: 1533.bdate omitted because of collinearity.

Fixed-effects (within) regression               Number of obs     =    754,554
Group variable: investor                        Number of groups  =     43,005

R-squared:                                      Obs per group:
     Within  = 0.0312                                         min =          1
     Between = 0.0636                                         avg =       17.5
     Overall = 0.0473                                         max =     13,212

                                                F(1498,43004)     =          .
corr(u_i, Xb) = 0.1032                          Prob > F          =          .

                          (Std. err. adjusted for 43,005 clusters in investor)
------------------------------------------------------------------------------
             |               Robust
        sell | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
      1.gain |   .0708707   .0043097    16.44   0.000     .0624236    .0793178
       ybeta |   .0106603   .0014711     7.25   0.000      .007777    .0135437
             |
gain#c.ybeta |
          1  |   .0201162   .0023042     8.73   0.000        .0156    .0246324
             |
        retp |  -.0030423   .0031748    -0.96   0.338     -.009265    .0031804
        retm |  -.0557309   .0078385    -7.11   0.000    -.0710945   -.0403673
        mini |    .057538   .0030438    18.90   0.000      .051572     .063504
        maxi |   .1050872   .0033335    31.52   0.000     .0985535    .1116209
       sqrhp |  -.0004804   .0001556    -3.09   0.002    -.0007853   -.0001755
      logprc |   .0001387   .0007885     0.18   0.860    -.0014068    .0016842
       1.dec |   -.172695   .0119841   -14.41   0.000     -.196184    -.149206
             |
    dec#gain |
        1 1  |  -.1198417   .0051324   -23.35   0.000    -.1299012   -.1097821
             |
       bdate |
         44  |   .2201969   .0366147     6.01   0.000     .1484314    .2919624
         45  |   .0785358   .1512041     0.52   0.603    -.2178272    .3748987
Remark: I did not post the whole regression output as I have around 1,500 dates. I just included the first ones (see last lines of the output)