How to add multiple fixed effects in a fixed effects regression model

[Enzo Beni]

Dear all,

I am currently working on my thesis. I would like to observe the relationship between taxes and the financial structure of firms. Therefore, I am using a fixed effects model. I am using subsidiary and year fixed effects using the codes xtset and xtreg. I was wondering if it is possible to implement a model with more fixed effects. For example, I would like to construct a model with subisdary, industry and year fixed effects. Is this possible? And if so, can I construct it via xtset or are there other options?

Thanks in advance!

[Jared Greathouse]

I don't know why economists are so obsessed with having 5 kinds of fixed effects in their models, but here it is.

[Carlo Lazzaro]

Enzo:
as Jared wrote, this is kinda overkill.
In addition, as per -fe- machinery, please note that time-invariant variables will not be given any coefficient (demeaning of a constant, you know...).