clear all

webuse grunfeld,clear
drop if company>3

xtreg invest mvalue, fe
predict double epsfe, e
preserve
keep epsfe year company
reshape wide epsfe, i(year) j(company)
// contemporaneous correlations between firm errors, straight FE
corr epsfe*
restore
xtreg invest mvalue i.year, fe
predict double epsfet, e
preserve
keep epsfet year company
reshape wide epsfet, i(year) j(company)
// contemporaneous correlations between firm errors, two-way FE
corr epsfet*
restore