. use CoCdata . regress coc_brav ffa_beta1 ffa_beta2 ffa_beta3 ffa_beta4 size bm volatility vs, cluster(gvkey) Linear regression Number of obs = 730 F( 8, 403) = 2.73 Prob > F = 0.0061 R-squared = 0.0376 Root MSE = .89233 (Std. Err. adjusted for 404 clusters in gvkey) ------------------------------------------------------------------------------ | Robust coc_brav | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ffa_beta1 | -.1535219 .0887434 -1.73 0.084 -.3279798 .0209359 ffa_beta2 | -.1143092 .0492573 -2.32 0.021 -.2111426 -.0174758 ffa_beta3 | -.0063473 .0404064 -0.16 0.875 -.0857809 .0730863 ffa_beta4 | -.0758462 .0892828 -0.85 0.396 -.2513645 .099672 size | -.0325531 .0277355 -1.17 0.241 -.0870775 .0219712 bm | .0481505 .0507484 0.95 0.343 -.0516141 .1479152 volatility | 1.989745 .5465106 3.64 0.000 .9153769 3.064112 vs | -.2316999 .306856 -0.76 0.451 -.8349383 .3715384 _cons | 9.351116 .2408157 38.83 0.000 8.877704 9.824528 ------------------------------------------------------------------------------ . regress coc_brav ffa_beta1 ffa_beta2 ffa_beta3 ffa_beta4 size bm volatility vs, cluster(fyear) Linear regression Number of obs = 730 F( 8, 14) = 17.06 Prob > F = 0.0000 R-squared = 0.0376 Root MSE = .89233 (Std. Err. adjusted for 15 clusters in fyear) ------------------------------------------------------------------------------ | Robust coc_brav | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ffa_beta1 | -.1535219 .0562496 -2.73 0.016 -.2741654 -.0328785 ffa_beta2 | -.1143092 .0406328 -2.81 0.014 -.2014578 -.0271605 ffa_beta3 | -.0063473 .0483111 -0.13 0.897 -.1099642 .0972697 ffa_beta4 | -.0758462 .1031364 -0.74 0.474 -.2970517 .1453593 size | -.0325531 .0359022 -0.91 0.380 -.1095558 .0444495 bm | .0481505 .0353032 1.36 0.194 -.0275672 .1238683 volatility | 1.989745 .4448193 4.47 0.001 1.035702 2.943787 vs | -.2316999 .2513875 -0.92 0.372 -.7708725 .3074726 _cons | 9.351116 .2555007 36.60 0.000 8.803121 9.89911 ------------------------------------------------------------------------------ . cluster2 coc_brav ffa_beta1 ffa_beta2 ffa_beta3 ffa_beta4 size bm volatility vs, fcluster(gvkey) tcluster(fyear) Linear regression with 2D clustered SEs Number of obs = 730 F( 8, 699) = 2.81 Prob > F = 0.0045 Number of clusters (gvkey) = 404 R-squared = 0.0376 Number of clusters (fyear) = 15 Root MSE = 0.8923 ------------------------------------------------------------------------------ | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ffa_beta1 | -.1535219 .056196 -2.73 0.006 -.2638552 -.0431887 ffa_beta2 | -.1143092 .0393434 -2.91 0.004 -.1915546 -.0370638 ffa_beta3 | -.0063473 .0498633 -0.13 0.899 -.104247 .0915525 ffa_beta4 | -.0758462 .1048533 -0.72 0.470 -.2817114 .130019 size | -.0325531 .036037 -0.90 0.367 -.1033068 .0382005 bm | .0481505 .0398905 1.21 0.228 -.0301691 .1264701 volatility | 1.989745 .4622461 4.30 0.000 1.082188 2.897302 vs | -.2316999 .2524312 -0.92 0.359 -.7273142 .2639144 _cons | 9.351116 .2587969 36.13 0.000 8.843003 9.859228 ------------------------------------------------------------------------------ SE clustered by gvkey and fyear (multiple obs per gvkey-fyear)