Dummy for subsamples

[Amber Imtiaz]

Dear all, I have a sample of 25 countries spanning over 20 years and I perfom xtabond2 (system GMM) in order to estimate inequality impact on C02 emissions. As my sample of countries is heterogeneous, I would like to perform the same regressions for lower income countries and higher income countries. I would like to avoid to split the sample into 2 sub-samples in order to keep the same number of observations (and of degrees of freedom). So, in order to get the results for higher income countries, I create a dummy (d=1) for this category of countries. Then, I use the same specification as for the same sample but I multiply each variable by the dummy. I would like to know whether this way of doing is correct. Many thanks in advance for your help. Kind regards.
Amber.

[Carlo Lazzaro]

Amber:
welcome to this forum.
I would create a two-level categorical variable (say, 0=low income; 1=high income) and add it as a predictor in the right hand-side of your regerssion equation.
You seemingly followed an appraoch based on interacting each predictor with the (seeming) categorical variable.
The issue, I think, is how to interpret your results.