Hello everyone!
I am currently writing my master thesis, where I analyze the effect of hurricanes on the stock market. I have an unbalanced panel dataset with stock returns over several days prior to and after each hurricane over a time frame of several years. I created a dummy variable "hurricane" taking the value 1 if the stock is affected that day by a hurricane, 0 otherwise. I included time-fixed as well as firm-fixed effects and clustered the standard error on firm-level. I have run the following regression as a baseline model:
xtreg RET i.hurricane i.date, fe vce(cluster PERMNO)
The regression output shows the coefficient for the hurricane dummy variable, many coefficients for all the days (which I know I don't have to look at further) and the constant.
Question:
Does the constant reflect the intercept (if the hurricane dummy is 0)? If so, I understand that in order to retrieve the effect if the stock is affected by the hurricane (dummy = 1), by adding the constant to the coefficient for hurricane dummy.
I am confused, as I have read, that I cannot interpret the constant in the fixed effects model (https://www.stata.com/support/faqs/s...effects-model/)
I would very much appreciate it if someone could help!!
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