 The Stata command felsdvreg to fit a linear model with two high-dimensional fixed effectsStata Journal, 2008, vol. 8, issue 2, 170-189 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. Keywords: felsdvreg; linked employer-employee data; fixed effects; three-way error-components model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:8:y:2008:i:2:p:170-189 Ordering information: This journal article can be ordered from Access Statistics for this article Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins More articles in Stata Journal from StataCorp LLC |
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