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The Stata command felsdvreg to fit a linear model with two high-dimensional fixed effects

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Author Info

  • Thomas Cornelissen

    () (University of Hannover)

Abstract

This article proposes a memory-saving decomposition of the design matrix to facilitate the estimation of a linear model with two high-dimensional fixed effects. A common way to fit such a model is to take into account one of the effects by including dummy variables and to sweep out the other effect by the within transformation (fixed-effects transformation). If the number of panel units is high, creating and storing the dummy variables can involve prohibitively large computer-memory requirements. The memory-saving procedure to set up the moment matrices for estimation presented in this article can reduce the memory requirements considerably. The companion Stata ado-file felsdvreg implements the estimation method, takes care of identification issues, and provides useful summary statistics. Copyright 2008 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 8 (2008)
Issue (Month): 2 (June)
Pages: 170-189

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Handle: RePEc:tsj:stataj:v:8:y:2008:i:2:p:170-189

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Related research

Keywords: felsdvreg; linked employer-employee data; fixed effects; three-way error-components model;

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Cited by:
  1. Michael Ewens & Matthew Rhodes-Kropf, . "Is the VC Partnership Greater than the Sum of its Partners?," GSIA Working Papers 2012-E36, Carnegie Mellon University, Tepper School of Business.
  2. Pekka Ilmakunnas & Seija Ilmakunnas, 2011. "Diversity at the Workplace: Whom Does it Benefit?," De Economist, Springer, vol. 159(2), pages 223-255, June.
  3. Fairlie, Robert W. & Hoffmann, Florian & Oreopoulos, Philip, 2011. "A Community College Instructor like Me: Race and Ethnicity Interactions in the Classroom," CLSRN Working Papers clsrn_admin-2011-27, UBC Department of Economics, revised 27 Oct 2011.
  4. Braakmann, Nils, 2009. "Is there a compensating wage differential for high crime levels? First evidence from Europe," Journal of Urban Economics, Elsevier, vol. 66(3), pages 218-231, November.
  5. Emmanouil Tranos & Peter Nijkamp, 2012. "The Death of Distance Revisited: Cyberplace, Physical and Relational Proximities," Tinbergen Institute Discussion Papers 12-066/3, Tinbergen Institute.
  6. Nils Braakmann, 2008. "Crime does pay (at least when it’s violent)!– On the compensating wage differentials of high regional crime levels," Working Paper Series in Economics 91, University of Lüneburg, Institute of Economics.
  7. Goderis, B.V.G. & Versteeg, M., 2013. "The Transnational Origins of Constituions: Evidence From a New Global Data Set On Constitional Rights," Discussion Paper 2013-010, Tilburg University, Center for Economic Research.
  8. Leigh, Andrew, 2010. "Estimating teacher effectiveness from two-year changes in students' test scores," Economics of Education Review, Elsevier, vol. 29(3), pages 480-488, June.
  9. Nilsen, Øivind Anti & Raknerud, Arvid & Skjerpen, Terje, 2011. "Using the Helmert-Transformation to Reduce Dimensionality in a Mixed Model: Application to a Wage Equation with Worker and Firm Heterogeneity," IZA Discussion Papers 5847, Institute for the Study of Labor (IZA).
  10. repec:ese:iserwp:2009-12 is not listed on IDEAS
  11. Thomas Cornelißen & Olaf Hübler, 2011. "Unobserved Individual and Firm Heterogeneity in Wage and Job‐Duration Functions: Evidence from German Linked Employer–Employee Data," German Economic Review, Verein für Socialpolitik, vol. 12(4), pages 469-489, November.

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