Hello

I have explored this forum for the question of firm vs industry fixed effect. But they always talk about panel regression "xtreg".
In my case, I have unbalanced Panel Data and whenever I use Panel regression, the results are insignificant and can't be used to explain my inferences. So I follow Wooldridge(2010) and due to unbalanced nature of my panel, I use POLS.
Since, I am working on firms' share price returns, I want to fix the firms so to avoid any firm effects. I have 18 industries and more than 4000 firms per year for 13 years.

Code:
regress y x1 x2 x3 x4 x5 x6 i.industry i.year, robust
With this code, I am able to control year and industry, but it doesn't seem practical to control for firms "i.firms" because of number of observations.

My questions,
1. is it sufficient to apply industry and exclude firm control.
2. my friend suggested to use cluster

Code:
regress y x1 x2 x3 x4 x5 x6 i.industry i.year, robust cluster(firms)
This code above only deals with the standard errors not fixing the firm effect (as per my knowledge).
Can you please give me any suggestion to fix the firm effect in POLS?

Thanks!
Qazi


Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input long Firms int Data_Year long Sector1 float(y x1 x2 x3 x4 x5 x6)
 2 2006  1          .            .       .            .         .         . .
 2 2007  1          .            .       .            .         .         . .
 2 2008  1          .            .       .            .         .         . .
 2 2009  1          .            .       .            .         .         . .
 2 2010  1          .            .       .            .         .         . .
 2 2011  1          .            .       .            .         .         . .
 2 2012  1          .            .       .            .         .         . .
 2 2013  1          .            .       .            .         .         . .
 2 2014  1          .            .       .            .         .         . .
 2 2015  1          .            .       .            .         .         . .
 2 2016  1          .            .       .            .         .         . .
 2 2017  1          .            .       .            .         .         . .
 2 2018  1          .            .       .            .         .         . .
 3 2006 15          .     .0588601 1.94666    .22520296  2.539871         0 1
 3 2007 15          .   .033332642 2.93485      .192904  2.547168         0 1
 3 2008 15          .    .01940063 1.84911    .14878628 2.5697694         0 1
 3 2009 15          .    .05142462 .953542      .246432  2.456603         0 1
 3 2010 15          .    .20495068 1.22109      .178483  2.408386         0 1
 3 2011 15          .   .009054668  1.4233    .11290167 2.4134254         0 1
 3 2012 15          .   .010843783 1.39291    .05148486  2.418654         0 1
 3 2013 15 -.45762715    .00931621 2.33558            0  2.398067         0 1
 3 2014 15          .   .010274763 2.00774            0  2.427436         0 1
 3 2015 15          .   .013881045 3.23829    .23651055   2.69642         0 0
 3 2016 15  -.8986493    .04266848 2.41774    .19479223  2.701517         0 0
 3 2017 15  -.8433397    .08782447 2.25026    .18349776 2.7423086         0 0
 3 2018 15          .   .013235296 2.57593    .16161986  2.756552         0 0
 5 2006  8          .            . .978182 .00024064996 1.5905855         0 0
 5 2007  8          .            . .647546            0  1.549604         . 0
 5 2008  8          .            .       .            .         .         . .
 5 2009  8          .            .       .            .         .         . .
 5 2010  8          .            .       .            .         .         . .
 5 2011  8          .            .       .            .         .         . .
 5 2012  8          .            .       .            .         .         . .
 5 2013  8          .            .       .            .         .         . .
 5 2014  8          .            .       .            .         .         . .
 5 2015  8 -1.2913605            .       .     1.524727 -1.555955         . 0
 5 2016  8          .            . .235211   .013280518 1.1000602         . 0
 5 2017  8          .            .       .            .         .         . .
 5 2018  8          .            .       .            .         .         . .
13 2006  4          .    .56787515       .    .54185754  1.618226         0 0
13 2007  4          .            .       .            .         .         . .
13 2008  4          .            .       .            .         .         . .
13 2009  4          .            .       .            .         .         . .
13 2010  4          .            .       .            .         .         . .
13 2011  4          .            .       .            .         .         . .
13 2012  4          .            .       .            .         .         . .
13 2013  4          .            .       .            .         .         . .
13 2014  4          .            .       .            .         .         . .
13 2015  4          .            .       .            .         .         . .
13 2016  4          .            .       .            .         .         . .
13 2017  4          .            .       .            .         .         . .
13 2018  4          .            .       .            .         .         . .
14 2006 16          .     .3742465 1.62565    .15619987 3.3326585   .845098 1
14 2007 16          .    .04114099 1.02707    .14252478   3.24923    .69897 1
14 2008 16          .   .009839674 1.51208    .08373041   3.25896    .60206 1
14 2009 16          .            .       .            .         .    .60206 .
14 2010 16          .            .       .            .         .         . .
14 2011 16          .            .       .            .         .         . .
14 2012 16          .            .       .            .         .         . .
14 2013 16          .            .       .            .         .         . .
14 2014 16          .            .       .            .         .         . .
14 2015 16          .            .       .            .         .         . .
14 2016 16          .            .       .            .         .         . .
14 2017 16          .            .       .            .         .         . .
14 2018 16          .            .       .            .         .         . .
15 2006  7          .    .02684195 4.37205    .14560093 2.2206154    .60206 0
15 2007  7          .   .011010598 3.26782    .05175494 2.2237165  .4771213 0
15 2008  7          .  .0012241866 1.73697    .05533915 2.1846972  .4771213 0
15 2009  7          .    .03988571 2.45002    .05487922 2.1772566  .4771213 0
15 2010  7          .    .05301388 5.52119    .03857759 2.3197305  .4771213 0
15 2011  7  -.6537684   .010773852 2.86267     .2996194  2.665557    .69897 0
15 2012  7 -1.2263236   .013061752 6.60859    .12986204  2.830872   .845098 0
15 2013  7  -.9993629   .006437473 10.2847   .017026918  3.040543   1.20412 0
15 2014  7          .  .0007668933 2.83528   .005819082 3.1847794 1.3802112 0
15 2015  7          .   .006556697 1.48682   .009178674  2.950345   1.30103 0
15 2016  7          .    .06107769 2.46043   .008934786  2.928986 1.2552725 0
15 2017  7          .    .04057406 1.60284   .007892824  2.952678  1.230449 0
15 2018  7          .    .01205367 2.03453    .03801258 2.9168916 1.0791812 0
16 2006  7          .            .       .            .         .         . .
16 2007  7          .            .       .            .         .         . .
16 2008  7          .            .       .            .         .         . .
16 2009  7          .            .       .            .         .         . .
16 2010  7          .            .       .            .         .         . .
16 2011  7          .            .       .            .         .         . .
16 2012  7          .            .       .            .         .         . .
16 2013  7          .            .       .            .         .         . .
16 2014  7          .            .       .            .         .         . .
16 2015  7          .            .       .            .         .         . .
16 2016  7          .            .       .            .         .         . .
16 2017  7          .            .       .            .         .         . .
16 2018  7          .            .       .            .         .         . .
17 2006 14          .  .0036297094 5.74644    .05222128  4.328257 1.1139433 1
17 2007 14          .  .0083065005 5.09032     .1655463 4.3925915 1.1760913 1
17 2008 14          . .00050353137 4.03952    .20253557  4.411502 1.1760913 1
17 2009 14          .    .02329066 4.60241    .19097248 4.4353666  1.146128 1
17 2010 14          .   .008952872 3.92285    .14182915  4.479374 1.1760913 1
17 2011 14          .  .0042309016 3.68352    .14432566  4.499907 1.2787536 1
17 2012 14  -1.780515   .016203607 3.62995    .14721337  4.529892  1.230449 1
17 2013 14          .    .02400288 5.31523    .13067064 4.5256925 1.2552725 1
17 2014 14   -2.93236    .01348641 7.96134    .21756545   4.49428  1.230449 1
end
label values Firms Firms
label def Firms 2 "1-800-Attorney, Inc.", modify
label def Firms 3 "1-800-FLOWERS.COM, Inc. Class A", modify
label def Firms 5 "1PM Industries, Inc.", modify
label def Firms 13 "360 Global Wine Co Com New", modify
label def Firms 14 "3Com Corp", modify
label def Firms 15 "3D Systems Corporation", modify
label def Firms 16 "3Dfx Interactive", modify
label def Firms 17 "3M Company", modify
label values Sector1 Sector1
label def Sector1 1 "Commercial Services", modify
label def Sector1 4 "Consumer Non-Durables", modify
label def Sector1 7 "Electronic Technology", modify
label def Sector1 8 "Energy Minerals", modify
label def Sector1 14 "Producer Manufacturing", modify
label def Sector1 15 "Retail Trade", modify
label def Sector1 16 "Technology Services", modify