Hello, I want to run a model that allow the coefficient to vary by Industry, and also control for firm and time fixed effect. I know the second part can be use PROC with FIXTWO, but I don't know how to do the first one. Data is at firm level Model: Y = α + (β + Σθ*Indus)*X + ΣγC Where: - Y: Independent var - X: Dependent var (firm level data) - C: Control var - Indus: dummy variable for each industry - β: Coefficient average - θ: Coefficient adjusted by Industry I am looking for how to code the θ*Indus Thank you
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