Hi,

I'm making a difference-in-differences analysis with multiple interaction terms for returns - three periods with one treatment group.
I use 500 firms and 11 sectors (which I have taken into account by i.sector). Moreover, I use 5 control variables such as size, ROE etc.

My questions relate to fixed effect and the choice of adjusting standard errors.

1) The dataset had heteroskedasticity, hence I understand it as I should apply clustered (by firm) or robust standard errors. Is that correct? And what is the difference?

2) I run one regression without fixed effects and one with fixed effects. When I apply the fixed effects it omits all my control variables, my sectors as well as my treatment variable due to collinearity. What is the explanation for this? And is the model still correct?

Thank you so much in advance!

Best,
Freja