st: Dummy variables for pooled regressions

["Yvonne Capstick" <yvonnecapstick@hotmail.com>]

Hi,

I'm trying to run a regression of company profit on many potential 
determinants (e.g. past advertising, past sales growth). I have a large 
dataset of many companies and am doing a pooled regression, pooling all of 
the observations together. I would like to include two dummy variables as 
controls: one for the state, and a second for the industry (i.e. state and 
industry year fixed effects).

Is there a simple way to do this without literally creating a separate dummy 
variable for each state and each industry? I know that with a panel dataset 
(i.e. multiple cross sections over time), I can do xtreg y x, i(industry) fe 
if I am only interested in constructing an industry fixed effect. This 
syntax instructs Stata to create the dummy variables so I do not have to.

However, if I need more than one fixed effect (industry and state), xtreg 
cannot seem to accommodate this. It only lets me put one variable in the i( 
) option. Could anyone suggest an alternative way?

Thanks!
Yvonne

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