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The time-series is mainly for return calculations I suppose. As I want to regress returns of each industry index against a set of country and industry dummies. My main issue here is how to create these dummies (as described above). I'm just trying to replicate an academic paper and my apologies for ...

1. You'll have to provide a little more detail. You have a panel data set (cross-sections and time). What do you mean when you say you are running a cross-sectional regression? 2. EViews doesn't support weighted least squares in panels. 3. It will not use an observation for which any of the variabl...

Somehow the images don't work.
Could you please follow these links instead?

http://www.flickr.com/photos/77043061@N ... otostream/
http://www.flickr.com/photos/77043061@N ... otostream/

Hi, I'm an absolute beginner and using EViews 7 at the moment. I'm running a cross-sectional regression with the dependent variable is returns of sector indices and the regressors are sector and country dummies (=1 if that sector index belongs to country x, 0 otherwise. similarly to sector variables...