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st: xtreg with several grouping variables


From   "Braunfels, Philipp (Stud. SBE / Alumni)" <P.Braunfels@student.maastrichtuniversity.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: xtreg with several grouping variables
Date   Mon, 18 Jun 2012 09:39:42 +0200

Dear Statlisters,

I want to run a panel regression in which I want to investigate the effect of country characteristics on company returns. More precisely I am investigating wether macroeconomic variables such as GDP, public debt etc. have any effect on company returns. My dataset is in long form, covering seeral years starting in 1990 and looks as follows:

Firm_ID    Country   Industry      Date        Firm_Return        Macro_var
      1              DE          4             1990                15                     55
      1              DE          4             1991                16                     53
      2              DE          6             1990                22                     55
      2              DE          6             1991                18                     53  
      3              CH          2             1990                31                     92
      3              CH          2             1991                32                     90
      4              CH          1             1990                40                     92
      4              CH          1             1991                38                     90  


Now I would like to run a regression, allowing me to investigate how the macro_vars of country i (as x variable) affect the returns of the companies in country i (several companies per country). In general I would define the panel as "xtset Firm_ID Date" and then run xtreg. However this does not allow for the investigation of different groupings (by country/ country and industry, etc). Therefore, I am looking for a way to do this. 

I would highly appreciate any help!
philipp
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