The Stata command felsdvreg to fit a linear model with two high-dimensional fixed effects
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.
Volume (Year): 8 (2008)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.stata-journal.com/ |
|Order Information:||Web: http://www.stata-journal.com/subscription.html|
When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:8:y:2008:i:2:p:170-189. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)or (Lisa Gilmore)
If references are entirely missing, you can add them using this form.