How to set 3 way panel and run triple difference regression?

[Catherine Edwards]

Hi everyone,
I've got a dataset which varies across time, across country and across products (trade data). I can't seem to find anywhere the command I need (equivalent of xtset I assume) to tell stata that this is a 3 way panel - does such a command exist?
After this, I want to run a triple difference regression, but again cannot find any information about the command I should use to do so.
Any help would be much appreciated.
Best wishes,
Catherine

[Phil Bromiley]

You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

User written reghdfe does this. Enter findit reghdfe on the command line.