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Re: st: Subtracting out many fixed effects


From   Chris Parker <cparker.phd2007@london.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Subtracting out many fixed effects
Date   Mon, 21 Jun 2010 09:51:03 +0100

Hi Clive,

Thanks for the suggestion.  I'd always used i.MYVARIABLE in the
regression explicitly which caused me problems with matsize.  After
your response I dug in a bit deeper and found the -i()- option.
Thanks for that.  However, the way I subtract out averages by male and
then run the regression is exactly what the -i()- option should do.
This re-creates the regression as I would expect.  The problem I run
into is then subtracting averages from a second categorical variables
(in my example, topper).  I can't specify two or more variables with
the -i()- option so I'm back to the same issue as before.

In addition, the group fixed effects are not the fixed effects I am
trying to manually subtract out.  I let Stata handle those.

Chris

On Mon, Jun 21, 2010 at 9:10 AM, Clive Nicholas
<clivelists@googlemail.com> wrote:
> Chris Parker wrote:
>
>> I'm trying to run a panel regression with a large number of fixed
>> effects in addition to the group fixed effects that xtreg takes care
>> of for me.  Because of the large number of variables I cross the limit
>> on matsize of 11,000.  I have therefore opted to subtract out some of
>> the fixed effects.  My problem is that I don't know the best way to do
>> this when there are multiple fixed effects to be subtracted out.
>
> [...]
>
> You ought to be running -xtreg- with the -i()- and -fe- options
> switched on: this will automatically take care of your fixed effects
> and do the de-meaning for you. What happens when you do this?
>
> --
> Clive Nicholas
>
> [Please DO NOT mail me personally here, but at
> <clivenicholas@hotmail.com>. Please respond to contributions I make in
> a list thread here. Thanks!]
>
> "My colleagues in the social sciences talk a great deal about
> methodology. I prefer to call it style." -- Freeman J. Dyson.
>
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