I am currently working with panel data. So far, I specified a fixed effects model with two fixed effects: firm fixed effects (I'm working with company data) and time fixed effects. After performing some Hausman tests, the results suggest that the firm effect is indeed fixed, but my time effect seems to be random.
To get to this conclusion, I tested my two-way fixed effects model against (1) the two-way random effects model, (2) a model with fixed time and random firm effects, and (3) a model with fixed firm and random time effects. All but the third model suggested the use of the two-way fixed effects model. So I concluded that I should use the model with the fixed firm and random time effects.
Now my questions:
Is it even possible to have one random and one fixed effect?
Do my tests make sense in this way?
How would you estimate such a model? I simply added a full set of firm/time dummies to my regression and then used the random effects estimators, but I really don't know if this makes sense.
Can you recommend any literature in which a model with one fixed and one random effect is explained?
Thank you very much!