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st: most efficient way to include several fixed effects


From   vzavacka@worldbank.org
To   statalist@hsphsun2.harvard.edu
Subject   st: most efficient way to include several fixed effects
Date   Mon, 23 Mar 2009 16:46:01 -0400

I am using a large panel data set (2.5mil observations) with three dimensions:
exporter, product and year. I would like to estimate a model including the
following fixed effects:

exporter_year
product_year
exporter_product

What is the most efficient way to include these fixed effects?  I was looking
into areg but it can only absorb one of these FE and the size of my dataset
makes it impossible to just generate dummies for the other two.

thanks in advance for your help

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