Hi all,
I am doing a study which tests the effect of a specific period on firms' liquidity.
I have firm-level daily data. From which I create a weekly data set using the weekly average. Then I construct my dependent and explanatory variables using weekly data. My variable of interest, which represents a specific time of a year is a dummy variable.
The reason I create weekly variables and not monthly variables is that my variable of interest, which represents 30 days in a year. It can starts and finishes any day in a month, as an example in 2015 it started on May 16th and not May 1st.
My sample is strongly unbalanced, and if I make it balanced, I lose loads of observations.
I am using a firm-fixed effect regression and cluster standards errors by both firms and weeks. I use reghdfe code written by @Sergio Correia .
reghdfe dep-var Variable-of-Interest indep-var, absorb(firmcode) vce(cluster firmcode tw )
It works ok, and I have not received any errors, but I think testing an unbalanced panel may not be correct. I appreciate any thought you may have on this.
Many thanks
Mona
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