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st: New version of felsdvreg.ado to estimate large number of two-wayfixed effects


From   Thomas Cornelissen <[email protected]>
To   [email protected]
Subject   st: New version of felsdvreg.ado to estimate large number of two-wayfixed effects
Date   Mon, 28 Jan 2008 16:08:08 +0100

Dear all,
a new version of my program -felsdvreg- for a memory saving fixed effects estimation of the linear two/three-way
error components model is available.

-felsdvreg- computes a linear regression model with two fixed effects (e.g. person and firm effects). One
effect (e.g. the firm effect) is included as dummy variables while the other effect (e.g. person effect)
is eliminated by substracting group means (within-transformation).
(A third effect, e.g. a time effect, or more effects can be specified by including the corresponding dummies.)

Of course this could be done "manually", but the program is "memory-saving"
in that it doesn't explicitly generate all the dummy variables for the second effect,
but still compute the exact least squares estimates. Therefore the program can be used in
large datasets.

At least Stata 9 is required to run the program. The program is available by typing
net from http://www.thomas-cornelissen.de/stata/
in Stata.
Best,
Thomas

--

Thomas Cornelissen
Institut für Empirische Wirtschaftsforschung
Leibniz Universität Hannover

Institute of Empirical Economics
University of Hannover, Germany

Tel.: +49 (0)511 762-5661

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