Hi Guys,

I have been working with panel data for my research. One of the problem I faced is that. My dataset is monthly based from 2010 to 2023. I was able to do a yearly analysis but for monthly analysis I had to create panel ID's for each month. But the problem is that my data is not balanced.

Meaning that, I have data for around 50 firms. Some of the firms have been merged, closed or dissolved during some years between 2010-2023, this creates a dataset with only few rows for such firms. I have realized that due to panel ID's they are supposed to be a fixed or balanced data for all firm. The pooled OLS, FE or RE models do not work and I get an error every time. Is there any work around for this??

Just a simple representation of the dataset: ( I am using Firm and Panel ID as my multi-index)

Firm Panel ID Datetime

A 1 02-2010

A 2 03-2010

A 3 04-2010

B 1 02-2010

B 2 03-2010

C 1 02-2010

C 2 03-2010

C 3 04-2010