When including interacted fixed effects, do I also have to include each fixed effects separately in the model?

[Jun Park]

When including interacted fixed effects, do I also have to include each fixed effects separately in the model?
For example, if I want to include firm x Industry fixed effects, do I also have to include firm fixed effects and industry fixed effects as well?

Thank you!

[Carlo Lazzaro]

Jun:
welcome to this forum.
Given no more details from your side, the short answer is: yes,
Please read the FAQ on how to post more effectively. Thanks.

[William Lisowski]

Adding to Carlo's advice, if you have not already done so, you will want to read, in the Stata User's Guide PDF included with your Stata installation and accessible through Stata's Help menu, sections 11.4.3 Factor variables and 11.4.4 Time series varlists to familiarize yourself with the Stata tools you will want to use to effectively build your models.

For example

regress y i.firm i.industry ...

introduces firm and industry fixed effects using the categorical variables firm and industry into the model, and

regress y i.firm#i.industry ...

introduces the interaction of of the fixed effects for categorical variables firm and industry into the model, and

regress y i.firm##i.industry ...

introduces the main effects for categorical variables firm and industry and their interaction.

The final example is likely what you will want to use, but do familiarize yourself with the details of the syntax.