I am currently sitting on an understanding issue. I did some regressions (pooled OLS) on my panel data and hold for time fixed effects.
However, I am confused about the interpretation of the time fixed effect as my results are completely contradicting each other. I tried to find some literature about time-fixed effects but I could not find the answer I was looking for.
My scenario: I did a pooled regression by holding for time-fixed effects (monthly) as I try to investigate the impact of Fintech Funding on banks stock return. When I run the pooled OLS without holding time fixed my result is slightly positive (0.30) while running the regression with monthly time-fixed effects my result is negative (-1.12). I am confused on how to interpret the results. Why does the time-fixed effect leads to a different result? And also what is the theory behind this?
Additional: I did not use a fixed or random effect model because my Breusch-Pagan LM test indicate to use pooled OLS. However, when using the Stata command testparm my result show that time should be considered.