st: Omitted Fixed Effects Dummy Variables

[Sabin Ahmed <sabahmed@gwmail.gwu.edu>]

Dear Stata Intellectuals,

I am running a fixed effects regression model with panel data and a
LOT of county-year and industry-year fixed effects dummy variables,
taking on a value of (0,1) for each country-year or industry-year
combination.

I have 9 years, 23 industries, and 61 countries. My country-year fixed
and industry-year fixed effects dummies for example are as follows:

       - year1country1, year1country2,  ... year9country61.

       - year1industry1, year1industry_2,  ... year9industry23.

I have already dropped all the FE dummies which only have a value of 0
for all observations.

However, now when I run my regression, some of my dummy variables get
omitted in the Stata output. For example when I run:

[eststo: reg y  x1  x2  x3  year*_country_* ]	my stata output looks as follows:

						
lnTFP_dmci	Coef.	Std. Err.	t	P>t	[95% Conf.	Interval]
						
x1	3045.822	4306.575	0.71	0.479	-5396.157	11487.8
x2	770.8256	3359.629	0.23	0.819	-5814.897	7356.548
x3	-1494.027	4481.935	-0.33	0.739	-10279.75	7291.702
year_1_co~_1	(omitted)
year_4_co~_1	(omitted)
year_6_co~_1	4358.841	194696.2	0.02	0.982	-377295	386012.7
year_8_co~_1	(omitted)
year_5_co~_2	7948.869	187794.8	0.04	0.966	-360176.4	376074.2
year_9_co~_2	-93922.92	187622.4	-0.50	0.617	-461710.3	273864.5
year_5_co~_3	-369.7111	186973.6	-0.00	0.998	-366885.3	366145.9
year_9_co~_3	-661.7758	186926.8	-0.00	0.997	-367085.7	365762.1
year_1_co~_4	(omitted)
year_4_co~_4	(omitted)
year_8_co~_4	3449.422	192931.8	0.02	0.986	-374745.7	381644.6
year_1_cou~5	(omitted)
year_4_co~_5	(omitted)

I would really appreciate if someone could shed a bit more light on
this and advise me on how to deal with this issue.
I have tried dropping one dummy variable then running the same
regression but I am running into the same issue.

Thanks a lot.
S.A.
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