EViews.com

Thank you for your quick reply.

In other words, I just estimate the dummies for every country and every sector in my data set and add them as explanatory variables to my regression? I guess I need a dummy of every category for every time period of observation?

EViews doesn't have automatic fixed effects for panels with more than 2 dimensions. However, you could always use @expand(country) and @expand(industry, @dropfirst) as regressors to make fixed effects manually. I have a similar issue and encountered several posts stating that the fixed effects of t...