Hi Neha,
I think the choice of whether to integrate a dummy variable or not depends on the objective of your research. What are you searching for?. Have your companies been randomly selected(then a GLS with  random effect is feasible) or constituted firms within a confined region: which you all choose(then a GLS with Fixed effect is feasible). From results of the Hausman  test, estimates by OLS are efficient but not consistent: indicating the absence of endogeneity and vailidity of a GLS with Random effect. I can't really be of help untill I understand the essence of integrating a dummy variable in your research objective.

From: Neha Kalra <nehakalra56@yahoo.co.in>
To: gretl-users@lists.wfu.edu
Sent: Sunday, October 30, 2011 4:01 PM
Subject: [Gretl-users] panel regression result interpretation

Hello to all Gretl users, i need help regarding to panel regression that i m running on the data of 49 companies over 5 years.. disclosure score have been assigned to each company is my dependent variable and i m seeing relation of this with diffrent variable like assets, debt to eqity ratio, working capital etc....
I have run a random effect model without dummies... following is the result of regression..
: Random-effects (GLS), using 245 observations
Included 49 cross-sectional units
Time-series length = 5
Dependent variable: Disclosurescore

 Coefficient Std. Error t-ratio p-value const 54.6399 2.44263 22.3693 <0.00001 *** Income 0.000300548 0.000284884 1.0550 0.29251 Assets 2.47402e-05 0.000143089 0.1729 0.86288 ROCE 0.339813 0.136887 2.4824 0.01374 ** RONW -0.305412 0.101727 -3.0023 0.00297 *** Debttoequityrat -2.91992e-05 0.000943001 -0.0310 0.97532 PBITNetofP_E_Av -0.275439 0.0929244 -2.9641 0.00335 *** Profitaftertax 0.000338873 0.00199357 0.1700 0.86517

 Mean dependent var 53.7654 S.D. dependent var 14.8543 Sum squared resid 48314.6 S.E. of regression 14.2479 Log-likelihood -994.958 Akaike criterion 2005.92 Schwarz criterion 2033.93 Hannan-Quinn 2017.2

'Within' variance = 60.0887
'Between' variance = 146.644
theta used for quasi-demeaning = 0.713727
Breusch-Pagan test -
Null hypothesis: Variance of the unit-specific error = 0
Asymptotic test statistic: Chi-square(1) = 193.78
with p-value = 4.75747e-044

Hausman test -
Null hypothesis: GLS estimates are consistent
Asymptotic test statistic: Chi-square(7) = 11.5898
with p-value = 0.114882

now i dont knw that whether i have to use interpret these beta coefficients as any other variable or else & whether to use dummy variable or not...
I m also attaching with ths mail my data file in gretl..
Plz anyone help ..