st: Interaction term with categorical variables and no. of observations stepwise regressions

[Marcel Steinter <makromario2003@yahoo.de>]

Dear research colleagues,
 
I hope you are doing fine. Since, I
received a lot of divergent responses when discussing internally, I would have
a question with regard to the following two issues:
 
I have a panel data set (bond price - years)
with 3 time periods of interest in my data (coded with 2 dummy variables). In
addition to potentially including these 2 dummies I am also interested in
interaction effects, in particular I would expect the influence of my main
independent variable to be higher in the third period. I therefore include the
interaction main independent variable x dummy for period 3 in my regression.
 
Do I also need to include the interaction
of the main independent variable x dummy for period 2 in my regressions (as for
normal dummies when all have to be included). I would assume that I definitely
have to include the main effect dummies 1+2.
 
I have some missing values and want to run
several models and stepwise add variables to the regression. Do I also have to
have the same number of observations for all models? Obviously, the more
variables are added the more observations have missing values for some
variables and are dropped. Or can I use the full number of observations for
each model, resulting in higher number of observations for models with less
variables?
 
Best regards,
 
Marcel

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