My sample is balanced panel data and includes 6,071 firm-year observations for the period 2002-2014.
I test the book leverage (total debt/total asset) by using lagged factors as follows: 9 firm-specific factors, 2 industry-specific factors, 3 macro-specific factors (inflation, interest rate, and GDP growth), and 3 dummies. At the same time I use 12 year dummies for 13 year analysis.
Can I use only time dummies instead of macro-specific dummies or opposite? I cannot find any empirical evidence about this usage.