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Yeah i seem to have reached that same conclusion now.

I guess the firm and industry effects then have to be done with ANOVA testing or something like that, but not sure how to do that in eviews.

It gives a near singular error, regressors may be perfectly collinear. And with the @droplast for both the firmnumber and the industrynumber, therefore going in to the constant, it is not possible to say anything anymore about the constant, or is there? When doing ls roa c @expand(firmnumber, @dropl...

I am now working in eviews 8, and i added the workfile so you can see the structure of the data. ( i had to delete some of the variables i have, since the workfile is bigger than 2 MB) I am not sure how to use the dummy function to generate the right dummies. Basically i have a dataset of 256 firms ...

He everyone, I could really use your help with the following, i am trying to estimate firm-effect, industry-effect and size effect on firm profitability. I have 256 firms in my sample and 123 observations (monthly), the 256 firms operate in 9 classified industries. For the firms en industries i need...