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st: time and sector dummies


From   Sangalli Ilaria <ilaria.sangalli@intesasanpaolo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: time and sector dummies
Date   Tue, 26 Apr 2011 17:18:53 +0200

Dear all,

I have to estimate a panel data model based on firm data, which contain time dummies (to account for business cycle effects) and
sectorial dummies (to control for industry effects).

I would like to make an interaction between time dummies and sector dummies in order to generate new dummies that control for
specific components which vary across firms and time.

How can I generate these dummies using a unique string of commands?
I would avoid repeating the same interaction command for each combination of time/industry dummies.

Thanks for the support.

Ilaria Sangalli

Research Department
Intesa Sanpaolo SpA

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