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Re: st: Dummy variables for pooled regressions


From   "Yvonne Capstick" <yvonnecapstick@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Dummy variables for pooled regressions
Date   Thu, 12 Jan 2006 09:37:02 -0500

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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