Grouping companies within Panel data, stock prices and sectors

[Henry Gallagher]

Hello,

I am trying to estimate the impact of monetary policy on stock prices in the USA. I have stock data for 500 firms from the S and P 500 as my dependent variable and M2 as my independent variable, along with other control variables. If I am trying to look at and compare the impact sector by sector, how would I go about doing this? I read about using and redefining industry dummies but I am unsure how to implement.

Thanks

[Harry Baird]

Hi Henry, I am in a similar predicament. I hope you find the answer you are looking for, there are a lot of smart people in this forum who should be able to help