Hi all,

I have an unbalanced panel data, 11 industries and 21 years.

After doing the main regression test, I want to run the models separately for each industry for 21 years.

Here is my code:
- tab industry, gen (I) -
> then I get 11 industries from I(1) to I(11)
- bys I1: xtreg Y A B C D E -

1Q. Is this the correct coding that can give me the regression result for industry(1) only? (in return, Stata gives me the results of -> I(1) = 0, or -> I(1) =1).
code:

- bys I1: xtreg Y A B C D E i.Time, fe -
- est store fe -

- bys I1: xtreg Y A B C D E i.Time, re -
-est store re-

-hausman fe re-


2Q. is this the correct code for checking fixed effect or random effect for industry(1) and controlling for the Time effect?

3Q. the results give me the similar correlation (between my dep var and indep var) with my main regression ( - xtreg Y A B C D E i.Time i. Industry, re, or xtreg Y A B C D E i.Time, fe).
however, most of them become not significant and the R-square drop dramatically.

Is that because of the small sample size? ( in total, I roughy have 30,000 firm-year observations, while industry(1) only have around 1500 firm-year observations.

if so, can I have some suggestion for doing that please?

Thanks in advance

Neng