I am trying to run a regression for fixed effects specifications. The dependent variable is Volatility, which is indexed by country, sector and time. The explanatory variables are Openness and GDP. Openness is also indexed by country, sector and time, while GDP is only indexed by country and time. I attempted the following regression:

xtreg Volatility Openness GDP, fe


My preceding codes are as follows:
egen id = group(Country Sector)
xtset id Time
format Time %ty

The problem with this is that I am not sure how to index the variables appropriately in the regression. The result is that all coefficients are zero, except the constant. How should I index the variables? Thank you very much in advance!