I am using a country variable, called "targetcountry" in my dynamic panel regression. This variable consists of 13 countries (long variables) and normally I should make 12 dummies (or use i.targetcountry) but this will give a big output with 12 different coefficients. As the coefficients are not important to my analysis and i just want to use the variable as control variable, I was asking myself how Stata treats the variable if just use "targetcountry" in the regression. Does it automatically makes dummy variables? and how could i intepret the coefficient? Is it possible to use a categorical variable like this in a regression?
My code looks as follows:
reghdfe Return returnLag1 targetcountry targetsector age Gearing lnsize style if vehiclestructure==1, a(yq) cl(vehiclenumber)
This gives the following output.
| (1) | |
| VARIABLES | Closed-end |
| Appraisal-based return, t-1 | 0.1008*** |
| (0.0346) | |
| Target country | -0.0006** |
| (0.0003) | |
| Target sector | -0.0005 |
| (0.0004) | |
| Age | -0.0017*** |
| (0.0003) | |
| Gearing | -0.0198** |
| (0.0079) | |
| Ln Size | 0.0063*** |
| (0.0014) | |
| Style | 0.0030 |
| (0.0027) | |
| Constant | -0.0833*** |
| (0.0244) | |
| Time FE | Yes |
| Fund FE | No |
| Observations | 4,250 |
| R-squared | 0.1733 |
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