Can we run the regression by using the data directly from them ? For example, after download data from them ,the class of worker variable; 0 for not in universe, 1 is self employ, 2 is wage worker, 3 unpaid worker ,4 other, 9 unknown. Another is Land ownership variable which has 00 for not in universe, 11 owned fully paid for, owned still paying , 21 rented . Do I have to create the new variable or dummy again if I use this variable or I can use it directly in this form that they generate for me? And Can I interpret directly from this variable?
Your question is unclear. if you know Stata well enough, you can probably run this with a moderately complicated syntax like
regress whatever i(11 20 21).land if inlist(worker_class, 1, 2, 3)
but you will likely be better off creating variables with informative names.