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

Cornelissen, T.; (2008) The Stata command felsdvreg to fit a linear model with two high–dimensional fixed effects. The Stata Journal , 8 (2) pp. 170-189.

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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.

Type: Article
Title: The Stata command felsdvreg to fit a linear model with two high–dimensional fixed effects
Publisher version: http://www.stata-journal.com/article.html?article=...
Language: English
Keywords: Felsdvreg, linked employer–employee data, fixed effects, three-way error-components model
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/17413
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