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I: st: huge amount of j-th related individual dummies


From   massimiliano stacchini <mastacchini@yahoo.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   I: st: huge amount of j-th related individual dummies
Date   Mon, 19 Dec 2011 16:44:28 +0000 (GMT)

The covariate X(i,j,t) (duration) is ij-h specific and varies with t (time). 
The dataset includes  the rate (i,j,t) applied by lender 'i' to borrower 'j' in period 't' and  the covariate duration which is lender-borrower specific, 

I need to include fixed effects for lenders (200 banks), borrowers (60,000 individuals) and time (48 quarters).

thanks




----- Messaggio inoltrato -----
Da: Cameron McIntosh <cnm100@hotmail.com>
A: STATA LIST <statalist@hsphsun2.harvard.edu>
Cc: 
Inviato: Lunedì 19 Dicembre 2011 17:20
Oggetto: RE: st: huge amount of j-th related individual dummies

Sorry for my slow uptake - What are (1) the exact nature/structure of the data and (2) the goals of the analysis? More detail would be helpful.

Cam
----------------------------------------
> Date: Mon, 19 Dec 2011 15:46:11 +0000
> From: mastacchini@yahoo.it
> Subject: st: huge amount of j-th related individual dummies
> To: statalist@hsphsun2.harvard.edu
>
>
> Dear users,
> I need to
> run in STATA the following model   y(i , j , t)  = X(i , j , t ) + D(i) + F(j) + H(t)D(i) F(j), H(t)  represent a set of fixed effects dummies respectively for the i-th lender , the j-th borrower and the it-th period.
> The problem is that I have 60,000
> borrowers (60,000 j-th related dummies).
>
> The command:
>
> xi: regress rate  i.borrower ....i.time i.lender
>
> does not support a so
> huge amount of related-to-borrowers –dummies.
>
> Could you suggest me how can I deal with this problem ?
> thanks
>
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