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st: dealing with high dimensional fixed effects

From   statalist <>
Subject   st: dealing with high dimensional fixed effects
Date   Sat, 21 Aug 2010 14:59:35 -0400

I am looking for suggestions for estimating LSDV/fixed effect models for which there are potentially large numbers of fixed effects. 

I have a very large dataset, and estimating all these parameters, even after differencing out one set (areg/xtreg), is not possible on my UNIX system. All this being said, I am not really interested in the parameter estimates as much as controlling for unobserved heterogeneity. 

Do people have suggestions for this? I know about the various two-way FE estimators (felsdvreg, a2reg, gpreg), but these are missing various features that I am interested in preserving (namely clustering and weighting). One could possibly cluster ("wild bootstrap") with these estimators, but weighting is not possible as far as I can tell. 

Perhaps there is any easier way? I have not been able to reproduce estimates using a two-step, Frisch Waugh Lovell approach with weights, and I am wondering if I am missing something here...

xtreg y [aweight=weight], i(workerid) fe
predict y_res, ue
xtreg x [aweight=weight], i(workerid) fe
predict x_res, ue
xtreg y_res x_res [aweight=weight], i(firmid) fe cluster(group)

Any other suggestions for dealing with these types of (seemingly more and more common) issues? 

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