Hi everyone,
I need help with detrending panel data.
I have a panel of firm observations across years and industries. I want to detrend the performance variable (ROA) to remove year and industry effects so i can use the detrennded variable on the left hand side of another model that does not work well with controls, thus requiring ex-ante detrending.

My idea was to simply run the following code, essentially regressing ROA on a set of multiplicative year X industry dummies, and use the residuals as the detrended variable.
Code:
gen indxyear=ind*year
tab indxyear, gen(trenddummy)
reghdfe roa trenddummy*, nosample fastregress residual(res_roa)
I am posting data below. The variables are id, year, ROA and industry designator, in that order. Thanks for the help!

Code:
* Example generated by -dataex-. For more info, type help dataex
clear
input long id double year float(roa ind)
1380 1992  .020091366 3
1380 1993 -.010184983 3
1380 1994   .04607277 3
1380 1995   .03616318 3
1380 1996   .06704622 3
1380 1997  .029870747 3
1380 1998   -.0048403 3
1408 1992   .11132794 1
1408 1993   .08327315 1
1408 1994    .1268582 1
1408 1995    .1289832 1
1408 1996   .11449675 1
1408 1997   .08191574 1
1408 1998   .08418822 1
1609 1992  .036867816 3
1609 1993    .0833743 3
1609 1994   .06494747 3
1609 1995    .0918747 3
1609 1996   .11155763 3
1609 1997   .10006464 3
1661 1992   .10992254 3
1661 1993   .07423703 3
1661 1994    .0861485 3
1661 1995   .10034772 3
1661 1996   .08848996 3
1661 1997   .12681246 3
1661 1998   .12572937 3
1663 1992   .16850606 1
1663 1993    .1633135 1
1663 1994   .17193583 1
1663 1995   .16928685 1
1663 1996   .19391987 1
1663 1997    .1750646 1
1663 1998   .17023782 1
1678 1992   .06116251 3
1678 1993   .05108807 3
1678 1994   .04647045 3
1678 1995   .04226407 3
1678 1996   .07594678 3
1678 1997   .08104512 3
1678 1998 -.029105654 3
1722 1993   .08783213 1
1722 1994   .08761986 1
1722 1995   .12433536 1
1722 1996   .08750617 1
1722 1997   .07014403 1
1722 1998   .05553664 1
end