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