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st: Panel data: large number of linear time trends

From   William Gui Woolston <>
Subject   st: Panel data: large number of linear time trends
Date   Fri, 24 Feb 2012 09:09:47 -0800

Dear Statalist Users,

I am estimating a panel data model, where the unit of observation is a
county-year.  There are roughly 3,100 counties in the United States,
and I have data for 12 years.

I wish to include linear county-time trends.  That is, I want a
separate time trend for each county.

Estimating this model by "brute force" (by interacting time with a
dummy for each county) would mean having an additional 3,100 variables
to my model.  Is there a more efficient way to estimate this model?

Thank you so much for your consideration.


PS.  Note that some versions of this question have appeared in earlier
Statalist threads
(, for
exacmple), but none of them provides a satisfactory answer.
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