Dear community

I am running a panel data with fixed effects. The model I'm applying is a partial adjustment model to see if firms have a target debt structure. In the model I include a dummy variable that is equal to 1 if the firm's intangible asset (variable name IVA_TA) has a missing value (so the dummy variable is 1 when there is a dot (.) in the data), 0 otherwise.

However, when I try to run the xtreg command with the dummy variable together with the variable IVA_TA, the dummy variable gets omitted because of collinearity. If I leave out either one of the two variables, the command runs perfectly fine.

This is the output with both variables IVA_TA and IVA_DUMMY included
Code:
 xtreg MDR_win l1.MDR_win l1.EBIT_TA_win l1.MB_win l1.DEP_TA_win l1.LnTA_win l1
> .FA_TA_win IVA_TA_win IVA_DUMMY_win , fe
note: IVA_DUMMY_win omitted because of collinearity.

Fixed-effects (within) regression               Number of obs     =        182
Group variable: firmid                          Number of groups  =         47

R-squared:                                      Obs per group:
     Within  = 0.1705                                         min =          1
     Between = 0.7017                                         avg =        3.9
     Overall = 0.5644                                         max =          4

                                                F(7,128)          =       3.76
corr(u_i, Xb) = 0.5712                          Prob > F          =     0.0010

-------------------------------------------------------------------------------
      MDR_win | Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
--------------+----------------------------------------------------------------
      MDR_win |
          L1. |   .3768109   .0868534     4.34   0.000     .2049565    .5486652
              |
  EBIT_TA_win |
          L1. |  -.1659445   .2490226    -0.67   0.506    -.6586783    .3267893
              |
       MB_win |
          L1. |   .0161656   .0058284     2.77   0.006     .0046331    .0276981
              |
   DEP_TA_win |
          L1. |  -.1953914   .4344386    -0.45   0.654    -1.055003    .6642197
              |
     LnTA_win |
          L1. |    -.00083   .0392252    -0.02   0.983    -.0784437    .0767837
              |
    FA_TA_win |
          L1. |   .0108168   .0872136     0.12   0.901    -.1617502    .1833838
              |
   IVA_TA_win |  -.2374304   .2070157    -1.15   0.254    -.6470462    .1721855
IVA_DUMMY_win |          0  (omitted)
        _cons |   .0707918   .2471637     0.29   0.775    -.4182638    .5598474
--------------+----------------------------------------------------------------
      sigma_u |  .11470965
      sigma_e |  .08096757
          rho |  .66745816   (fraction of variance due to u_i)
-------------------------------------------------------------------------------
F test that all u_i=0: F(46, 128) = 2.16                     Prob > F = 0.0004
This is the output with only one of the two variables included (in this case only IVA_DUMMY is included)
Code:
 xtreg MDR_win l1.MDR_win l1.EBIT_TA_win l1.MB_win l1.DEP_TA_win l1.LnTA_win l1
> .FA_TA_win IVA_DUMMY_win , fe

Fixed-effects (within) regression               Number of obs     =        208
Group variable: firmid                          Number of groups  =         52

R-squared:                                      Obs per group:
     Within  = 0.1462                                         min =          4
     Between = 0.3561                                         avg =        4.0
     Overall = 0.3196                                         max =          4

                                                F(7,149)          =       3.65
corr(u_i, Xb) = 0.2243                          Prob > F          =     0.0012

-------------------------------------------------------------------------------
      MDR_win | Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
--------------+----------------------------------------------------------------
      MDR_win |
          L1. |   .3422164   .0827372     4.14   0.000     .1787267    .5057061
              |
  EBIT_TA_win |
          L1. |  -.1749656   .2131508    -0.82   0.413    -.5961543    .2462232
              |
       MB_win |
          L1. |   .0138445   .0057302     2.42   0.017     .0025216    .0251674
              |
   DEP_TA_win |
          L1. |  -.2009779    .416863    -0.48   0.630    -1.024705    .6227489
              |
     LnTA_win |
          L1. |  -.0222294   .0380439    -0.58   0.560    -.0974046    .0529458
              |
    FA_TA_win |
          L1. |   .0164623   .0835363     0.20   0.844    -.1486065    .1815311
              |
IVA_DUMMY_win |   .0591311    .051265     1.15   0.251    -.0421691    .1604313
        _cons |    .197463   .2385291     0.83   0.409    -.2738736    .6687996
--------------+----------------------------------------------------------------
      sigma_u |  .14593521
      sigma_e |  .08039293
          rho |  .76718305   (fraction of variance due to u_i)
-------------------------------------------------------------------------------
F test that all u_i=0: F(51, 149) = 2.47                     Prob > F = 0.0000