Including year and quarter specific fixed-effects.

[Anabelle Reed]

I have a quarterly panel dataset and in my regression I want to include year and quarter specific fixed-effects.

variable qdate = 2016q1, 2016q2 ... up to 2018q4

Am I correct with including i.qdate to produce my quarterly specific fixed effects?
How would I go about creating the yearly specific fixed effects?

thanks

[Andrew Musau]

variable qdate = 2016q1, 2016q2 ... up to 2018q4

Am I correct with including i.qdate to produce my quarterly specific fixed effects?

Yes.

How would I go about creating the yearly specific fixed effects?

Well, quarters are nested in years. Therefore, you cannot include both as the year fixed effects will be collinear with the quarter fixed effects and thus will be omitted. Once you account for quarter fixed effects, you have also accounted for year fixed effects.

[William Lisowski]

Did you perhaps mean you wanted fixed effects for Q1, Q2, Q3, and Q4 rather than for each specific quarter in your data? If so you will want

generate qtr = quarter(dofq(qdate))
generate yr = year(dofq(qdate))

and then include i.qtr and i.yr in your model.