For my thesis I examine the effect of producing renewable energy on firms in the energy sector. In this, I want to compare the effect of the independent variable Renewable Generation between period 1 (2002-2010) and period 2 (2011-2018). My dependent var is a firms' equity beta and a control variable is firm size. How can I best formulate the appropriate model?
I thought about this, but I am not that skilled in statistics and therefore I have doubts:
Beta = b0 + b1ReGenperiod1 + b2ReGenperiod2 + b3Firmsizeperiod1 + b4Firmsizeperiod2 + error
I have also tried to just have ReGen instead of ReGen*period1, separate regressions for each period and to have my control variable as just firm size without the period interaction, but all models yield different answers. Can someone help me understand this and point me in the right direction for the appropriate model?
(I hope I don't break some rules with this question.)
Thanks in advance!