Year Fixed Effects

[Luc Abbey]

I have a general question about the year fixed effects. Actually I want to include both year fixed effects and industry-year fixed effects in my OLS model. The idea is to absorb both time-related unobservable factors and industry-year level unobservable factors. Is it correct to do so? Or should I only include one of them?

Thanks

[Clyde Schechter]

The year-fixed effects will be linear combinations of the industry-year fixed effects. So if you try to include them, they will be omitted due to colinearity.

[Phil Bromiley]

To add to Clyde's correct advise, note also that you are likely to find xtreg or reghdfe better for your kind of analysis.

[Luc Abbey]

Thank you both. It is indeed the case!