I am exploring the impact of social media WOM on firm performance during the 8 quarters of 2014-2015 for several firms. As WOM is likely endogenous, I was thinking of using weather data as instrument. The idea is that when, in a given quarter, the number of rainy days (or the number of days with above average precipitation) is higher, people stay at home more and are likely to, say, tweet more (relevance). Moreover, weather does not seem to directly impact firm performance (exclusion restriction).
My question is whether you think this can be a valid instrument. To be more specific, is it OK that the value of this instrument for any given quarter is identical for all firms in my sample? Thanks in advance!
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