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

  • Thomas Cornelissen

    ()

    (University of Hannover)

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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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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