Hi,

I am new to Stata and have a question about how to construct a panel data regression when I only want to eliminate the time fixed effects.

I have a dataset of 10 industries over 17 years (so I have a problem of small N compared to T). I want to understand the impact of an industry on the dependent variable, and I only want to understand the effect of one industry compared to the average of all others. Can I use -xtset year- to correct for year fixed effects (not including a panel) and then a dummy for the "industry 1" to interpret. Then I will run the -xtreg, fe-. Alternatively, is it better to use LSDV with a dummy for all years + one for the sector in question? I get the same coefficient for industry 1 using both methods, but some minor variation in SE and P values. I also want to use robust standard errors.

I hope you can help me for how to only correct for time fixed effect!

Thank you!