Good evening,

I have to calculate the interaction effect of my dummy variables P1-P3 on the market beta (out of a regression). My dependent variable are the monthly Returns (in %) BaB_scal. Market beta is the coefficient of a regrssion of the variable totm_excess_returns on BaB_scal.

Here is my approach to get the interaction terms/effects:

Code:
foreach var of varlist P1-P3 {
gen Markt_`var'=  totm_excess_return*`var'
}

reg BaB_scal Markt_P1 Markt_P2 Markt_P3

* Example generated by -dataex-. To install: ssc install dataex
clear
input float date double(BaB_scal totm_excess_return) byte(P1 P2 P3)
360 -14.682588577270508  -7.459439754486084 0 1 0
361  -1.654876947402954   .4641154408454895 0 1 0
362   -3.39279842376709   1.827237606048584 1 0 0
363 -3.4294121265411377 -3.0843849182128906 1 0 0
364 -1.3943896293640137   8.496832847595215 0 0 1
365    .366043359041214 -1.1079094409942627 0 1 0
366  -4.840882301330566   -1.22565495967865 1 0 0
367  -7.321093559265137 -10.011246681213379 1 0 0
368 -1.9710345268249512  -5.743035793304443 0 1 0
369  -5.398354530334473  -.8813543915748596 0 0 1
370   .9059581756591797   5.999211311340332 0 0 1
371 -2.5877606868743896  1.8464256525039673 0 0 1
372 -2.1864094734191895   4.229841232299805 0 0 1
373   8.912824630737305   6.432430744171143 0 0 1
374    .789802074432373   2.397249698638916 1 0 0
375    4.73654317855835  -.5890935063362122 0 1 0
376 -3.1622750759124756   3.438943386077881 0 0 1
377  1.5015218257904053  -5.034709930419922 0 0 1
378  -.5408530235290527   4.310793399810791 1 0 0
379  3.2204456329345703  2.0398731231689453 1 0 0
end
format %tm date
The market betas are allowed to vary over the full set of the three dummies. Is my approach correct and how can I interpret the coefficients of my "interaction variables" in regards to the Beta?

Thank you in advance!