Hi everyone,
I am new to Stata and am currently studying the effect of CSR on daily returns during a stock market crash. My dataset consists of 50 firms (I assume that my number of firms is still too small and I will need to increase my sample) over the time period of 35 days. This means that my independent variable changes daily but CSR doesn't and also some firm sepcific accounting data, which are used as control variables, are time invariant. I also wanted to include industry dummies to control for effects in different industries during the crash.
Now, I know that I cannot use xtreg, fe since all time invariant variables will be ommitted. Does this mean that my only solution is to apply a random effects model? Can I still incorporate industy dummies in this model? If so, how?
Thank you in advance, I really appreciate your help.
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