[R] Dummy variables model

[Tobias Muhlhofer]

Hi, all!

Anyone know an easy way to specify the following model.

Panel dataset, with stock through time, by firm.

I want to run a model of y on a bunch of explanatory variables, and one 
dummy for each firm, which is 1 for observations that come from firm i, 
and 0 everywhere else. I have over 200 firms (and a factor variable that 
  contains a firm identifier).

Any easy way of going about this, without having to define all these 
dummies? I checked lme() with random = ~ 1|firm, but the problem is that 
these are random effects, i.e. that there are firm-by-firm disturbance 
terms and overall disturbance terms, whereas I want just overall 
disturbance terms. This is generally called a "fixed effects" model, 
although it seems like the term "fixed effects" is being used somewhat 
differently in the context of the nlme package.

Toby

-- 
**************************************************************************
When Thomas Edison invented the light bulb he tried over 2000
experiments before he got it to work. A young reporter asked
him how it felt to have failed so many times. He said
"I never failed once. I invented the light bulb.
It just happened to be a 2000-step process."