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st: What to do if interactive fixed effects are huge?


From   "Yandi.SHEN" <yandi.shen@unimi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: What to do if interactive fixed effects are huge?
Date   Tue, 28 Apr 2009 16:41:37 +0200

Hi all,

I am dealing with a triple-dimension dataset (country, product and
year). It is China's imports from countries worldwide at 8-digit
level. To control for unobservable characteristics, I want to include
three sets of interactive fixed effects - country/product,
country/year and product/year - by using command xi: i.var1 * i.var2.
The problem is the number of product is huge, nearly 5000. I once let
Stata keep running for a whole night, but still nothing happened.

Is there any more efficient way to create double-interaction terms of
fixed effects?

If not, can I do the regression by simply de-meaning variables
relative to each fixed effects instead of including all these dummies?
Are following codes correct?

.foreach var of varlist y x {
       bysort pcode ccode: egen m1`var' = mean(`var')
       bysort year ccode: egen m2`var' = mean(`var')
       bysort year pcode: egen m3`var' = mean(`var')
       gen m`var' = `var' - m1`var' - m2`var' -m3`var'
}
.reg my mx, robust

Any advice will be highly appreciated!

Thanks and with best regards,

Yandi



-- 
Yours.
Ms. Yandi SHEN
Mobiel: +39-3891519209

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