Hi,

This is more of an Econometrics than a Stata question, I hope you don't mind.

I am trying to inspect the heterogeneous effects of a USA-based shock on a panel of countries using quarterly panel data. My variables of interest are the USA-based shock (which has only temporal variation and is mildly serially correlated) and the interaction of this variable with another variable that has cross-sectional and temporal variation too. (The LHS variable is log(x_t+h)-log(x_t-1) on different h horizons, with some quarterly economic aggregate x that varies across countries and over time.) My question would be whether it makes sense to include year-fixed effects in this regression?
I mainly worry about something like controlling for a downstream variable (subtracting part of the effect of the US shock with the year-fixed effects).