st: FE interaction model and dropped variable

[Enrico Cavale <tolacahc@gmail.com>]

Hello everybody,

I use daily-individual level data to measure the impact of a
treatment,  essentially  comparing  individual  behavior  during
treatment days to behavior during non-treatment days. Variation in the
timing of treatment days across different groups of individuals allows
to estimate models with calendar-date fixed effects to control for
day-specific attributes.

I want to estimate an interacted model with individual_by_year FE and
calendar_day FE where the regressors are the interactions of the
treatment dummy with month dummies. I had some memory issue of which
some of you are aware for a recent post "double format and memory
issue". So, I estimated a model with individual_by_year FE and
Year_by_week FE and stata returned to me the estimation for the 12
interactions variables. Later, following the advice of  Christopher
Baum in the other post, I could estimate my model with calendar_date
FE by first taking out the calendar_date means. The problem is that
one of the variable has been dropped. Do you have an idea of what is
going on?

Thanks,
Enrico

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