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From |
"Biljana Dlab" <dlab@isb.uzh.ch> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: re: 3sls and fixed effects |

Date |
Sat, 16 Oct 2010 23:09:12 +0200 |

Thank you very much Kit. Wish you nice evening. Best, Biljana -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum Sent: 16 October 2010 21:51 To: statalist@hsphsun2.harvard.edu Subject: st: re: 3sls and fixed effects <> Biljana said The size is following: Number of unique values of gvkey_n is 615 Number of records is 6492 I have totally 6492 firm-year observations. The time period is 30 years (fyears) That gives me matrix of: 2*((G-1) + (T-1)) 2*(614+29)=1286 Is that too large? I believe it is. You must be running Stata 10.x, as you can't use factor variables. In Stata 11, -help limits- does not say anything about the number of variables in an estimation command. I could swear that there was such a limit in Stata 10 and previous-- I think it was 800. It is not in the hardcopy manual for Stata 10 (nor 11), and I do not have access to Stata 10 at present. See what -help limits- on your version 10 system says. But in any case if you have 615 firm dummies, I suggest you follow my prior advice and center all of the variables you want to include in the analysis by firm. Then you don't have to include i.gvkey_n. You can still include the time dummies, as there are only 30 of them. Centering both y and the other X variables manually will have the same effect as including a full set of firm dummies, and should get around the problem you're encountering. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: re: 3sls and fixed effects***From:*Christopher Baum <kit.baum@bc.edu>

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