In this discussion, @1muflon1 has a comprehensive answer about some commonly-used fixed effects. I am wondering how to do industry and year fixed effect but still having firm fixed effect? If we do these three fixed effects together, it should become a three-way fixed effect and I do not think it is properly.
Actually, I did, and the result when controlling for firms and year fixed effects and controlling for these three fixed effects are similar.
Dasgupsta, 2019, Table 2, column 4, in his paper, he proposes something like controlling for firms and the interaction of industry * year fixed effects, does it answer my question above? @1muflon1 also explain this specification as
this is not the same as controlling for fixed year and industry effects at the same time, this is something extra, to see if there is some extra yearly effect that affects all industries in different way. For example recession occurring in year 2020 could on average have negative effect on all companies but some industries can benefit from recession