Dear all,

I have a statistical-oriented question regarding the choice of time and regional fixed-effects in Stata. I need to pick the level at which I want to introduce fixed-effects in a simple regression design. I have at my disposal a database of survey's answers in around 300 regions in 28 countries spanning 80 months. However, I have some holes in my dataset, which means that a given region hasn't answered each month of the 80 months. For example, a region in Austria might only have answered in January and December and another region in France only answered in 6 months.

Hence my question is... I would like to introduce fixed effects controls at the finest level for both dimensions (i.e monthly and regional FE) but I am afraid this would "vacuum" all the variance in my sample. Do you have any insight on how to check for FE relevance in these kind of cases because I have to admit that my econometrics education has unfortunately omitted this kind of trade-off encountered by researchers.

Hope my question is clear enough and somebody can shed some light on this issue.

Thanks in advance,

Stanley