Re: st: Dummy variables for pooled regressions

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

Thanks very much to everyone for their help on this. Sorry for not 
specifying in my original email; I was after separate fixed effects rather 
than interacted effects. I will have a look into your suggestions.

Yvonne


> From: austin nichols <austinnichols@gmail.com>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Dummy variables for pooled regressions
> Date: Wed, 11 Jan 2006 11:26:59 -0500
>
> . egen g=group(state ind)
> . areg y x, absorb(g)
>
> On 1/11/06, Yvonne Capstick <yvonnecapstick@hotmail.com> wrote:
> > 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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