I have an unbalanced panel dataset with N=10 firms and T=61 days. Because one variable had values outside the theoretical range I had to constrain my dataset, which left me with only 239 observations. This means on average 23.9 observations per firm and on average 3.92 observations per day.
I'm explicitly comparing the levels of a variable against another (including control variables) within an OLS regression and feel I therefore need to add fixed effects. The likelihood ratio confirms I should add cross-section and period fixed effects, but I feel uncertain. Especially about the period fixed effects as the observations per period are very limited.
Is someone able to give me some more insight to my concerns?
Thank you very much!