I am doing panel data analysis. I have N= 103 firms in T= 5 years (that is around 507 observations with an “unbalance data” fixed effect). The study period is from 2008-2012. The period of the financial crisis is 2008.
I am not sure whether I can use a differences in differences model to get the effect of the crisis. I can’t see a control group because all companies were affected by the crisis.
Michael R. Roberts talks in his book "Endogeneity in Empirical Corporate Finance" about single time-series difference before and after treatment. Does he mean to interact my independent and moderating variables with a crisis dummy which is the year 2008? And is it right to interact the crisis dummy with all the observations to get the crisis effect?