I have two categories: "return" and "country", where return is "numeric" and
"country" is a three letter code corresponding to the country. I know that I
can use the "xi" function to create dummy variables and run the regressions
all in one step, i.e.
xi : regress return country
To avoid the dummy variable trap, it automatically omits the first group of
"country". I know that I can use the "char" function to specify omitting
another group, e.g.
char country[omit] "ita"
would omit the group "ita".
However, I haven't found a way to omit no groups - i.e. include all the
dummy variables, and avoid the dummy variable trap by specifying
"noconstant" in the regression. If I try:
xi: regress return country, noconstant
it will omit the constant but still omit the first group of "country". Any
advice would be appreciated.
