Dear All, I am confused with the results obtained from, for example, this (kind of) paper (Oil price uncertainty, CSR and institutional quality: A cross-country evidence). This data is here (excel: Array , Stata 16 dta: Array ). Take the Table 4 as an example Array
The trick is that the paper controls for "year" fixed effects (FE), along with firm fixed effects (two-way FE model). However, the key (macroeconomic) variable "OILVOL" is the same for all firms for each year. Clearly, it is "perfectly correlated" with year FEs. It can be seemed by the following code (ssc install reghdfe):
Code:
// Table 4, column (1)
reghdfe esg oilvol size i.year, a(id) vce(cl id year) 
reghdfe esg oilvol size, a(id year) vce(cl id year)
Array


Array

From
Code:
reghdfe esg oilvol size i.year, a(id) vce(cl id year)
It seems to me that Stata drops the last variable (see 2017 year dummy variable above) when there are many variables perfectly correlated.
However, from
Code:
reghdfe esg oilvol size, a(id year) vce(cl id year)
You can see that the key variable "oilvol" is omitted due to multicolinearity.

Thus, my question is that do the results in Table 4 make sense?