Fixed Effect Regression with year and firm fixed effects

[albert master]

Hi,

i have a question about my regression, I found some threads about it but still some questionmarks left:

I like to have a fixed effect regression with year and firm-fixed effects but unfortunately I don't get it until now.

xtreg f. em_intensity environmental_metric firm_size roa leverage firm_value cap_intensity sales_growth_win ceo_duality  board_size board_independence prc_busy3 i.year, fe vce(robust)

Currently as I understand it correctly I only have year-fixed effets included and if I want to have year and firm-fixed effects I need to include i.firm_code or does it belong to the brackets?

I used xtset upfront with the firm_code and year

xtset firm_code_num year

Many thanks!

[Carlo Lazzaro]

Albert:
1) Stata will throw a warning message upon your trying to include -firm_code_num-, as this is your -panelvar- (already included in -xtset-);
2) including -i.year- is correct and highly advisable;
3) you may want to take a look at the community-contributed module -reghdfe- if you want to retrieve both fixed effects (i.e., firm and year).

[albert master]

Albert:
1) Stata will throw a warning message upon your trying to include -firm_code_num-, as this is your -panelvar- (already included in -xtset-);
2) including -i.year- is correct and highly advisable;
3) you may want to take a look at the community-contributed module -reghdfe- if you want to retrieve both fixed effects (i.e., firm and year).

Thanks for your answer!
Yes the output says that my Group variable is firm_code_num so do I already have the firm fixed effects included?
I'm a bit lost how to interpret it, sorry.

[Maxence Morlet]

In the regression you show, you have firm and year fixed-effects included.

[Carlo Lazzaro]

Albert:
I do share Maxence's helpful interpretation.
I'm not clear with what you're unclear with, then.

[albert master]

Albert:
I do share Maxence's helpful interpretation.
I'm not clear with what you're unclear with, then.

Thank you both!
I try to find information on fixed effects but besides some literature practical examples are rare or I am personally not able to find them for example I am looking for some typical diagnostic test.
If you have some advice/links would be extremely helpful!
Thank you very much

[Carlo Lazzaro]

Albert:
1) you can find Stata-related example on -xtreg,fe- at its related entry in Stata -pdf manual and https://www.stata.com/bookstore/micr...metrics-stata;
2) the usual tests include_ heteroskedastcity, autocorrelation (within and across panels), functional specification form of the regressand.