I am fitting an lm() model to a data set that include indicators for the financial quarter (Q1, Q2, Q3, making Q4 a default). Using lm(Y~., data = data) I get a NA as the coefficient for Q3, and a warning that one variable was exclude because of singularities. Do I need to add a Q4 column?
NA as a coefficient in a regression indicates that the variable in question is linearly related to the other variables. In your case, this means that $Q3 = a \times Q1 + b \times Q2 + c$ for some $a, b, c$. If this is the case, then there's no unique solution to the regression without dropping one of the variables. Adding $Q4$ is only going to make matters worse.