In short, ANOVA is usually what you want to do: https://en.wikipedia.org/wiki/One-way_analysis_of_variance https://en.wikipedia.org/wiki/One-way_analysis_of_var

In short, ANOVA is usually what you want to do: https://en.wikipedia.org/wiki/One-way_analysis_of_variance https://en.wikipedia.org/wiki/One-way_analysis_of_variance In practice, if you have n countries, you'll add n-1 binary variables to your regression equation. The first country is the reference level (all zeros), for the second country set the first new variable to one, the rest to zero, etc.