Hi,

My research is studying the relationship between certain policy A which is implemented in some states in the U.S. and companies' financial decision B. The method I use is staggered DiD. The panel data covers all the companies and last for past 20 years. And I assume the relationship is positive.

when I add fixed effect into regression, most of the outcomes are significantly positive, including only year FE, only firm FE, only industry FE, and year*industry FE. However, when I add firm*year FE, the outcome is significantly negative. I am really confused and is there anyone can kindly help me out? I really appreciate any suggestion here.

Please see the code and regression below. Please note that treat and post are omitted because of collinearity.
reghdfe B post*treat $control, absorb( gvkey fyear )
B1 B2 B3 B4 B5
treat_post~1 -0.00739** 0.00748 -0.0756*** -0.0837*** -0.00602***
(-3.12) -0.22 (-4.14) (-3.96) (-3.39)
_cons 0.337*** 2.321*** -1.796*** -1.144*** 0.266***
-84.62 -40.22 (-57.89) (-31.80) -89.12
N 68806 68760 68206 68159 68806
Best regards,
Eva