Fixed effects: country, year and industry

[Dennis Hansen]

Hi everybody,

I have a dataset consisting of ~3,000 Private Equity returns in the period 2012-2018. I am looking to explain the returns by 4 independent variables. I would like to control for fixed effects for target country, target industry and exit year (the year the deal was exit). For the target country i have 8 different countries, for industry i have 18 different and for exit year i have 7 different years.

So currently i am running the regression: .reg DependentVar Var1 Var2 Var3 Var4

but i am looking to add the 3 fixed effects to my model. I am very new to Stata and thus not sure how to do this. Ive been looking at some other posts with similar challenges and found that i might be able to use the xtreg but i havent been able to make this work yet.

Thanks in advance!
All the best

[Carlo Lazzaro]

Dennis:
welcome to this forum.
As you're seemingly dealing with a N>T panel dataset, -xtreg- is, as you surmised, the way to go (provided that you really have multiple measures on the same sample of, say, funds across 2012-2018 timespan). Conversely,-regression- is not your first choice (although it can be applied to panel data in some instances).
To create categorical variables, see -help fvvarlist-.
See also -xtset- to learn how to identify your data as a panel before taking a look at -xtreg-.
You could also post an example/excerpt of your data using -dataex-.
As an aside, as you are new Stata a probably panel data regression (all those contributing to this forum were beginners when they click on their Stata icon for the first time; as Nick Cox said once, some of us are only more experienced beginners), you will find support in reading the following textbookhttps://www.stata.com/bookstore/microeconometrics-stata/), along with Stata manual.

[Dennis Hansen]

Hi Carlo

Thanks for your answer.
I have tried to attach a simplified example of my data with just some of the variable is want to control fixed effects for.
I want to do a fixed effect control for target country, as i expect the return can be affected by the country of investment, as specific country factors can create a better investment environment and so on. Moreover i want to control for industry due to to same reasoning - returns are generally higher in tech compared to utilities etc. And for exit year because returns in say 2005 are not comparable with 2007. Does this make sense?

Can you help me on how i can use xtreg to achieve this? Thanks a lot.

Dennis

[Carlo Lazzaro]

Denis:
as per FAQ, please do not use screenshots (as they're impossible to elaborate on), but share an example/excerpt of your data via -dataex- (really easy to use). Thanks.
That said, you may want something like the following codes:

xtset Target_country exit_year
xtreg return i.exit_year i.Target_industry, fe

Please note:
- the Target_country fixed effect is already captured by -xtset-;
- what is oftet called fixed effect is simply a multi-level categorical variable. The only fixed effect is related to the -panelid-. In addition, you may add time fixed effect, although somebody would disagree that it is a fixed effect in the same fashion of the panel-wise effect.
- by construction, the -fe- machinery wipes out time invariant predictors;
- do not take for granted that -fe- is the best specification for your data, as -re- might be better (compare -fe- vs -re- via -hausman-).

[Dennis Hansen]

Thanks Carlo

I saw this code being suggested in another thread: xtreg DepVar Var1 Var2 Var3 Var4 Var5 Var6 Var7 i.country i.industry

and i think the case is similar to mine

Will it work if i do this:
xtset Exit_Year
xtreg DepVar Var1 Var2 Var3 Var4 i.country i.industry, fe

Will the model then do a fixed effect of control on all the three variables: exit year, target_country and target_industry

Best
Dennis

[Carlo Lazzaro]

Dennis:
-xtset- won't work the way you coded it, as the -panelid- is mandatory, whereas the -timevar- can be omitted if you have genuine duplicates (ie, >1 observation for the same -panelid- within the same timespan) and do not plan to use time-series related commands, such as lags and leads (otherwise it is highly advisable to -xtset- your dataset with both N and T identifiers).
That said, you should add -i.Exit_year- among predictors if you want to investigate the effect of time (when adjusted for the remaining predictors) on the regressand.
As already highlighted, please note that the -fe.estimator will get rid of any time-invariant predictor (put differently: no coefficient will be calculated for those predictors).

[Dennis Hansen]

Hi Carlo

Thanks a lot and sorry for my questions but i am new to both panel regression and Stata..

Can i share some of my data with you, then it is probably easier for you to advice me?

Thanks in advance

[Carlo Lazzaro]

Dennis:
yes, you can share an example/excerpt of your data with interested listers on the General forum (not privately, please) via -dataex- (no screenshots, please). Thanks,

[Dennis Hansen]

Beneath i have tried to use dataex to show an example of my data
What i want to do in my analysis is: explain ReturnMultiple by InvestorOrigin. I want to control for ExitType, SizeAtExit and HoldingPeriod
Thus my equation becomes:

Reg ReturnMultiple, InvestorOrigin, ExitType, SizeAtExit, Holdingperiod

but in addition i would like to control for the fixed effects of: TargetCountry (6 countries), TargetIndustry (~20 industries) and ExitYear (7 years)
The fixed effects of TargetCountry and TargetIndustry should account for time-invariant endogeneity concerns while the ExitYear should address various temporial factors.

How can my desired regression be performed in Stata?

Thanks a lot in advance!

* Example generated by -dataex-. To install: ssc install dataex
clear
InvestorOrigin ExitType ExitYear SizeAtExitUSD TargetCountry HoldingPeriodMonths TargetIndustry ReturnMultiple
"Foreign" "Market sale"   2018   3.29 "Vietnam"      46.3 "Transportation/ Distribution" -.63
"Local"   "Market sale"   2010   2.64 "India"        64.5 "Textiles and clothing"         .12
"Foreign" "Market sale"   2014    .11 "India"       104.1 "Electronics"                   .18
"Foreign" "Market sale"   2012   8.37 "China (PRC)"  57.1 "Retail/Wholesale"               .2
"Foreign" "Market sale"   2013     15 "India"        68.5 "Construction"                   .2
"Foreign" "Market sale"   2014   4.94 "India"       117.8 "Infrastructure"                .22
"Foreign" "Market sale"   2014   1.69 "India"        88.6 "Textiles and clothing"         .25
"Foreign" "Market sale"   2014    .15 "India"        95.3 "Electronics"                   .26
"Local"   "Market sale"   2011    .14 "China (PRC)"   8.2 "Computer related"              .29
"Foreign" "Share buyback" 2013    7.7 "India"        71.4 "Travel/Hospitality"             .3
"Foreign" "Market sale"   2013    9.8 "India"          91 "Transportation/ Distribution"   .3
"Foreign" "Market sale"   2014   3.21 "India"        83.2 "Textiles and clothing"         .31
"Foreign" "Market sale"   2012    5.2 "India"        20.6 "Manufacturing - Heavy"          .4
"Foreign" "Market sale"   2013 305.88 "India"        74.5 "Telecommunications"            .47
"Foreign" "Market sale"   2009   2.91 "India"        50.9 "Leisure/Entertainment"         .49
"Foreign" "Market sale"   2012   9.15 "India"        72.4 "Transportation/ Distribution"  .54
"Local"   "Share buyback" 2012  15.32 "Malaysia"     26.4 "Services - Non-Financial"      .54
"Foreign" "Market sale"   2013  56.03 "China (PRC)"  31.8 "Utilities"                     .56
"Foreign" "Market sale"   2014  56.09 "India"        78.6 "Utilities"                     .63
"Foreign" "Market sale"   2013   12.9 "China (PRC)"  63.6 "Medical"                       .65
"Foreign" "Share buyback" 2013  54.87 "Malaysia"     73.1 "Mining and metals"             .66
"Foreign" "Market sale"   2014   1.83 "India"        95.7 "Manufacturing - Heavy"         .68
"Local"   "Market sale"   2013   4.01 "India"        59.1 "Electronics"                   .76
"Foreign" "Market sale"   2014   4.58 "India"        97.3 "Electronics"                   .77
"Foreign" "Share buyback" 2014  97.41 "India"        47.6 "Transportation/ Distribution"  .78
"Foreign" "Market sale"   2010  12.28 "India"        28.5 "Transportation/ Distribution"   .8
"Foreign" "Market sale"   2010   7.89 "India"        39.3 "Transportation/ Distribution"   .8
"Foreign" "Market sale"   2014   5.78 "India"        70.3 "Infrastructure"                .84
"Local"   "Market sale"   2015  96.73 "China (PRC)"   7.3 "Utilities"                     .86
"Foreign" "Share buyback" 2013  55.09 "China (PRC)"  69.9 "Medical"                       .88
"Foreign" "Market sale"   2012   10.1 "China (PRC)"  25.2 "Medical"                        .9
"Foreign" "Market sale"   2014  37.09 "India"          76 "Telecommunications"             .9
"Local"   "Market sale"   2012   3.81 "China (PRC)"    23 "Electronics"                   .94
"Foreign" "Market sale"   2014      1 "China (PRC)"   6.7 "Manufacturing - Heavy"         .96
"Local"   "Share buyback" 2012   9.89 "China (PRC)"  28.2 "Computer related"              .97
"Local"   "Market sale"   2008   2.85 "China (PRC)"  15.2 "Manufacturing - Heavy"         .98
"Local"   "Market sale"   2008   1.92 "China (PRC)"  15.2 "Manufacturing - Heavy"         .98
"Foreign" "Share buyback" 2009     60 "China (PRC)"  20.9 "Services - Non-Financial"        1
"Foreign" "Market sale"   2011   1.45 "India"        61.4 "Travel/Hospitality"              1
"Local"   "Market sale"   2011   1.58 "China (PRC)"  98.1 "Manufacturing - Heavy"           1
"Local"   "Share buyback" 2012  78.68 "China (PRC)"  14.9 "Manufacturing - Heavy"           1
"Foreign" "Market sale"   2013  11.63 "India"        82.4 "Travel/Hospitality"              1
"Foreign" "Market sale"   2014   3.44 "India"        27.6 "Construction"                    1
"Foreign" "Market sale"   2014  12.04 "China (PRC)"    26 "Leisure/Entertainment"           1
"Foreign" "Market sale"   2010   25.2 "Indonesia"    20.8 "Mining and metals"            1.01
"Local"   "Share buyback" 2012   6.27 "China (PRC)"   5.2 "Information technology"       1.01
"Foreign" "Market sale"   2015 134.02 "China (PRC)"  68.5 "Retail/Wholesale"             1.01
"Foreign" "Market sale"   2011 327.23 "Indonesia"    68.7 "Manufacturing - Heavy"        1.03
"Foreign" "Market sale"   2013  25.61 "India"        74.8 "Computer related"             1.03
"Local"   "Market sale"   2013   8.16 "India"        89.1 "Infrastructure"               1.03
"Local"   "Market sale"   2015 318.52 "China (PRC)"  30.8 "Transportation/ Distribution" 1.03
"Foreign" "Market sale"   2012   65.3 "China (PRC)"  61.8 "Financial services"           1.04
"Local"   "Share buyback" 2013  20.82 "China (PRC)"  39.5 "Medical"                      1.04
"Local"   "Share buyback" 2014  20.43 "China (PRC)"  46.6 "Media"                        1.04
"Local"   "Share buyback" 2006    .03 "China (PRC)"  25.5 "Medical"                      1.05
"Local"   "Share buyback" 2013   3.34 "China (PRC)"  25.6 "Manufacturing - Heavy"        1.06
"Local"   "Market sale"   2013   3.52 "China (PRC)"  24.4 "Services - Non-Financial"     1.07
"Foreign" "Market sale"   2012  20.95 "China (PRC)" 108.9 "Manufacturing - Light"        1.08
"Local"   "Share buyback" 2011   9.89 "China (PRC)"  39.6 "Manufacturing - Heavy"        1.09
"Foreign" "Market sale"   2015   1.42 "China (PRC)"  79.4 "Manufacturing - Light"        1.09
"Local"   "Share buyback" 2013    .18 "China (PRC)" 135.3 "Medical"                       1.1
"Local"   "Market sale"   2018  76.91 "China (PRC)"   3.4 "Electronics"                   1.1
"Local"   "Market sale"   2013    .04 "China (PRC)"   8.7 "Leisure/Entertainment"        1.11
"Local"   "Market sale"   2016    .01 "China (PRC)"     . "Medical"                      1.12
"Foreign" "Market sale"   2013   2.32 "India"        18.3 "Manufacturing - Heavy"        1.13
"Local"   "Share buyback" 2005   2.08 "China (PRC)"  18.8 "Manufacturing - Heavy"        1.15
"Foreign" "Market sale"   2013   5.36 "China (PRC)"  17.9 "Services - Non-Financial"     1.15
"Foreign" "Market sale"   2013  12.88 "India"           . "Transportation/ Distribution" 1.16
"Foreign" "Market sale"   2014  280.9 "China (PRC)"  48.5 "Financial services"           1.16
"Foreign" "Market sale"   2016  14.11 "China (PRC)" 126.8 "Transportation/ Distribution" 1.17
"Foreign" "Market sale"   2014 129.61 "China (PRC)"  62.4 "Retail/Wholesale"             1.18
"Foreign" "Share buyback" 2012   4.49 "India"        68.6 "Manufacturing - Heavy"        1.19
"Local"   "Market sale"   2014    .03 "China (PRC)"   9.6 "Electronics"                  1.19
"Local"   "Share buyback" 2005    .44 "China (PRC)"  40.4 "Computer related"              1.2
"Local"   "Market sale"   2009  51.15 "India"        21.6 "Financial services"            1.2
"Local"   "Market sale"   2010   4.03 "India"        56.7 "Infrastructure"                1.2
"Foreign" "Market sale"   2011 154.42 "China (PRC)"  42.6 "Financial services"            1.2
"Local"   "Market sale"   2012 283.02 "China (PRC)"  35.9 "Consumer products/services"    1.2
"Local"   "Market sale"   2014  42.38 "China (PRC)"  40.5 "Medical"                       1.2
"Local"   "Market sale"   2008    .22 "China (PRC)"  18.6 "Electronics"                  1.21
"Foreign" "Market sale"   2010   1.89 "China (PRC)"  54.5 "Consumer products/services"   1.21
"Foreign" "Market sale"   2007    .61 "China (PRC)"   5.5 "Manufacturing - Light"        1.22
"Foreign" "Share buyback" 2014   6.08 "India"        97.3 "Medical"                      1.22
"Foreign" "Market sale"   2013   6.36 "India"        57.8 "Manufacturing - Heavy"        1.23
"Foreign" "Market sale"   2015  13.09 "China (PRC)"  55.6 "Financial services"           1.23
"Local"   "Market sale"   2012  18.81 "China (PRC)"  49.8 "Manufacturing - Light"        1.24
"Foreign" "Market sale"   2011   8.84 "India"        22.8 "Infrastructure"               1.25
"Local"   "Market sale"   2014  34.09 "China (PRC)"  15.1 "Electronics"                  1.25
"Local"   "Share buyback" 2015  19.36 "China (PRC)"  66.8 "Services - Non-Financial"     1.25
end

[Carlo Lazzaro]

Dennis:
I think the first line of your -dataex-ed excerpt is missing (I mean the one that starts with

input

).

[Dennis Hansen]

Carlo, here is another example. Does that help?

* Example generated by -dataex-. To install: ssc install dataex
clear
input str7 localbogstav str13 exittype int exityear float transactionamountexitusm str11 investeetargetcountry float holdingperiodyears str28 investeetargetprimaryindustry float estimatedreturnmultiple
"Foreign" "IPO"           2014   6.87 "China (PRC)"  3.57 "Agriculture/Fisheries"       4.44
"Local"   "Market sale"   2014  16.68 "China (PRC)"  6.22 "Agriculture/Fisheries"      12.72
"Foreign" "Market sale"   2013  85.24 "China (PRC)"  7.04 "Agriculture/Fisheries"       5.38
"Local"   "Market sale"   2013  12.65 "China (PRC)"  4.82 "Agriculture/Fisheries"       9.78
"Foreign" "Market sale"   2014  79.97 "China (PRC)"  5.92 "Agriculture/Fisheries"       4.38
"Local"   "Market sale"   2014   2.61 "China (PRC)"  2.98 "Computer related"            2.29
"Local"   "Market sale"   2014   4.79 "China (PRC)"  3.78 "Computer related"            3.65
"Local"   "IPO"           2014    1.2 "China (PRC)"  3.74 "Computer related"            3.55
"Local"   "Market sale"   2013   13.8 "China (PRC)"     9 "Computer related"           28.98
"Local"   "Market sale"   2012  14.88 "China (PRC)"  3.19 "Computer related"           34.31
"Local"   "Market sale"   2013   8.39 "China (PRC)"  7.23 "Computer related"           24.73
"Local"   "Market sale"   2016   2.82 "China (PRC)"  3.47 "Computer related"            1.55
"Local"   "Market sale"   2013   4.06 "China (PRC)"  5.78 "Computer related"           11.86
"Local"   "Share buyback" 2005    .44 "China (PRC)"  3.37 "Computer related"             1.2
"Local"   "Market sale"   2013   6.07 "China (PRC)"  3.19 "Computer related"            3.11
"Local"   "Market sale"   2014  10.07 "China (PRC)"  6.72 "Computer related"           83.12
"Local"   "Market sale"   2013  14.07 "China (PRC)"  1.93 "Computer related"             1.3
"Local"   "Market sale"   2014    .89 "China (PRC)" 10.15 "Computer related"           32.97
"Local"   "Market sale"   2013  13.08 "China (PRC)"  6.09 "Computer related"           67.43
"Local"   "Market sale"   2008   7.54 "China (PRC)"  4.72 "Computer related"            6.42
"Local"   "Market sale"   2015  19.32 "China (PRC)"   .98 "Computer related"              24
"Local"   "Market sale"   2011    .14 "China (PRC)"   .68 "Computer related"             .29
"Local"   "Market sale"   2014  20.76 "China (PRC)"   3.6 "Computer related"            1.27
"Local"   "Market sale"   2011  78.05 "China (PRC)"     0 "Computer related"           32.02
"Local"   "Market sale"   2012   8.81 "China (PRC)"  6.77 "Computer related"           12.85
"Local"   "Market sale"   2012   2.55 "China (PRC)"  3.29 "Computer related"            6.02
"Local"   "Market sale"   2017  35.34 "China (PRC)"     2 "Computer related"            4.05
"Local"   "Market sale"   2014   17.1 "China (PRC)"  9.71 "Computer related"           36.18
"Local"   "Market sale"   2015   6.82 "China (PRC)"  1.34 "Computer related"           19.48
"Local"   "Market sale"   2014  11.72 "China (PRC)"  7.12 "Computer related"             104
"Local"   "Market sale"   2015   6.06 "China (PRC)"  4.08 "Computer related"            2.26
"Local"   "Market sale"   2013  13.48 "China (PRC)" 10.46 "Computer related"           13.77
"Foreign" "Share buyback" 2012     17 "China (PRC)"     6 "Computer related"             8.6
"Foreign" "Market sale"   2010   4.92 "China (PRC)"  7.38 "Computer related"            1.46
"Local"   "Market sale"   2015  10.91 "China (PRC)"     0 "Computer related"            9.51
"Local"   "Market sale"   2015  169.4 "China (PRC)"  3.93 "Computer related"            4.72
"Local"   "Share buyback" 2012   9.89 "China (PRC)"  2.35 "Computer related"             .97
"Local"   "Market sale"   2014   2.65 "China (PRC)"  2.07 "Computer related"            1.67
"Local"   "Market sale"   2012  21.26 "China (PRC)"  4.21 "Construction"                 6.5
"Local"   "Market sale"   2012  35.46 "China (PRC)"  3.18 "Construction"                3.17
"Foreign" "IPO"           2008    .64 "China (PRC)"   .75 "Construction"                 1.9
"Local"   "Market sale"   2013  46.86 "China (PRC)"  4.43 "Construction"                2.94
"Local"   "Market sale"   2012  15.16 "China (PRC)"  3.72 "Consumer products/services"   5.3
"Local"   "Market sale"   2012 283.02 "China (PRC)"  2.99 "Consumer products/services"   1.2
"Foreign" "Market sale"   2013 384.35 "China (PRC)"  3.79 "Consumer products/services"  4.04
"Foreign" "Market sale"   2011 450.38 "China (PRC)"  1.72 "Consumer products/services"  3.33
"Local"   "Market sale"   2013  11.53 "China (PRC)"  3.49 "Consumer products/services"  9.54
"Local"   "Market sale"   2014    4.3 "China (PRC)"  2.88 "Consumer products/services"   2.4
"Local"   "Market sale"   2014  50.82 "China (PRC)"  3.54 "Consumer products/services"  3.22
"Foreign" "Market sale"   2010   1.89 "China (PRC)"  4.54 "Consumer products/services"  1.21
"Foreign" "IPO"           2008   2.82 "China (PRC)"    .5 "Consumer products/services"  1.97
"Local"   "Market sale"   2013  15.85 "China (PRC)"  5.28 "Consumer products/services"  7.54
"Foreign" "Share buyback" 2014   3.25 "China (PRC)"   2.2 "Consumer products/services"  1.38
"Foreign" "Market sale"   2016 424.28 "China (PRC)"  7.94 "Consumer products/services"  11.3
"Local"   "IPO"           2007  22.34 "China (PRC)" 10.99 "Consumer products/services"   4.4
"Foreign" "IPO"           2012    .49 "China (PRC)"  4.78 "Consumer products/services"  4.38
"Local"   "Market sale"   2015  12.52 "China (PRC)"  4.35 "Ecology"                      3.1
"Local"   "Market sale"   2008  10.34 "China (PRC)"  6.69 "Ecology"                    35.48
"Local"   "Market sale"   2016   1.62 "China (PRC)"   .48 "Ecology"                     4.25
"Local"   "Market sale"   2016   8.97 "China (PRC)"  5.53 "Ecology"                      1.9
"Local"   "Market sale"   2014  42.76 "China (PRC)"  12.4 "Ecology"                    57.62
"Local"   "Market sale"   2014   77.1 "China (PRC)"   1.8 "Ecology"                     2.41
"Foreign" "Market sale"   2012  54.75 "China (PRC)"  2.79 "Electronics"                  4.4
"Local"   "Market sale"   2013   4.49 "China (PRC)"  3.24 "Electronics"                 2.41
"Local"   "Market sale"   2014   9.66 "China (PRC)"  1.63 "Electronics"                 2.75
"Local"   "Market sale"   2014   3.81 "China (PRC)"  2.32 "Electronics"                 1.38
"Local"   "Market sale"   2012  13.57 "China (PRC)"  3.28 "Electronics"                 7.84
"Local"   "Market sale"   2012   1.61 "China (PRC)"  4.95 "Electronics"                11.41
"Local"   "Market sale"   2014    .03 "China (PRC)"    .8 "Electronics"                 1.19
"Local"   "Market sale"   2017  14.78 "China (PRC)"  1.38 "Electronics"                 1.88
"Local"   "Market sale"   2014  20.28 "China (PRC)"  4.84 "Electronics"                 8.02
"Local"   "Market sale"   2015  10.29 "China (PRC)"  7.25 "Electronics"                  1.7
"Local"   "Market sale"   2014  33.35 "China (PRC)"  5.16 "Electronics"                  5.5
"Local"   "Market sale"   2013   5.54 "China (PRC)"  3.87 "Electronics"                 6.02
"Local"   "Market sale"   2012  21.52 "China (PRC)"  3.53 "Electronics"                 10.2
"Local"   "Market sale"   2015   1.87 "China (PRC)"  4.77 "Electronics"                 1.79
"Local"   "Market sale"   2011   2.89 "China (PRC)"   4.7 "Electronics"                 7.45
"Local"   "Market sale"   2012  45.92 "China (PRC)"  2.53 "Electronics"                 4.83
"Local"   "Share buyback" 2013  14.65 "China (PRC)"  9.29 "Electronics"                19.07
"Local"   "Market sale"   2013   6.39 "China (PRC)"  4.02 "Electronics"                 6.21
"Local"   "Market sale"   2012   2.15 "China (PRC)"  5.02 "Electronics"                 5.56
"Local"   "Share buyback" 2015   3.28 "China (PRC)"   4.3 "Electronics"                  1.5
"Local"   "Share buyback" 2013   3.23 "China (PRC)"     0 "Electronics"                 1.67
"Local"   "Market sale"   2014   5.57 "China (PRC)"  1.58 "Electronics"                 4.71
"Foreign" "Market sale"   2015   9.24 "China (PRC)"     8 "Electronics"                  2.7
"Local"   "Market sale"   2014   4.77 "China (PRC)"  4.69 "Electronics"                 2.54
"Local"   "Market sale"   2015   9.01 "China (PRC)"  7.83 "Electronics"                 2.12
"Local"   "Market sale"   2014   1.27 "China (PRC)"  1.13 "Electronics"                 2.17
"Local"   "Market sale"   2013  74.29 "China (PRC)"  2.91 "Electronics"                 1.81
"Local"   "Market sale"   2010  10.26 "China (PRC)"  2.43 "Electronics"                  1.4
"Local"   "Market sale"   2013    .84 "China (PRC)"  5.16 "Electronics"                 1.53
"Local"   "Market sale"   2013  14.24 "China (PRC)"  5.95 "Electronics"                19.45
"Local"   "Market sale"   2008    .22 "China (PRC)"  1.55 "Electronics"                 1.21
"Local"   "Market sale"   2013   4.21 "China (PRC)"   7.2 "Electronics"                 5.03
"Local"   "Market sale"   2008  10.78 "China (PRC)"   .79 "Electronics"                   10
"Local"   "Market sale"   2013   2.93 "China (PRC)"  3.13 "Electronics"                 3.08
"Local"   "Market sale"   2014   3.74 "China (PRC)"  4.24 "Electronics"                 8.38
"Local"   "IPO"           2014    .62 "China (PRC)"   3.6 "Electronics"                 3.15
"Local"   "Market sale"   2011   2.17 "China (PRC)"  4.24 "Electronics"                 3.65
"Local"   "Market sale"   2014  34.09 "China (PRC)"  1.26 "Electronics"                 1.25
end
format %ty exityear

[Phil Bromiley]

Use egen with group to create numerical values for countires, industries, etc. Then reghdfe will let you include three fixed effects.