I would suspect the actual values of the Firm_dummy variable have a lot of bearing.   You should show which regression code you ran and the diagnostics output, or better the actual data and code so we may duplicate your results. You could use instructions here https://communities.sas.com/t5/SAS-Communities-Library/How-to-create-a-data-step-version-of-your-data-AKA-generate/ta-p/258712 on how to generate data step code of your data that you can paste to the forum to recreate your data (or a subset sufficient to demonstrate the issue).     ... View more