I have a panel data that includes a decade of firm-year observations (1995- 2005). These companies are from different countries.
A law has passed in (almost) every country at different points in time. For example, if a law passed in France in 2001, the variable 'law' is equal to 0 for firm-year observations in France from 1995 to 2000 and to 1 from 2001 to 2005. France is a developed country. The variable 'developed' is equal to 1 for all firm-year observations in France over the decade 1995-2005.
I ran this line of code with Stata:
areg payable i.law##i.developed i.year, absorb(firmid) vce(cluster countryindust)
I want to know what is this impact of the law alone, market development (developed country or not) and the interaction between the passage of the law and market development on accounts payable.
The problem is that the coefficient 'developed' is omitted. It says that '1.developed omitted because of collinearity'. Is it because my model has a constant? I don't understand because people use this specification all the time.
Note: I also have time and firm fixed effects. I cluster for country-industry.
Am I doing something wrong? What should I do so that no coefficient is omitted?