We have a great discussion here about controlling for three dimensions (firm, year, and industry fixed effects)
A reasonable way to do so so far is controlling for firms fixed effect and industry * year fixed effect.
However, today my senior friend said that we can do three dimensions controlling in Stata by using
reg y x i.firm. i.year i.industry
I cannot check this code because my data is around 300,000 obs so STATA will create a super big matrix of coefficients.. I am wondering is it code right and how to convert it to reghdfe code?