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Re: st: Regression with about 5000 (dummy) variables


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Regression with about 5000 (dummy) variables
Date   Thu, 19 Apr 2012 10:44:12 -0400

Suryadipta Roy <sroy2138@gmail.com>:
findit felsdvreg

On Thu, Apr 19, 2012 at 10:39 AM, Suryadipta Roy <sroy2138@gmail.com> wrote:
> Dear Statalisters,
>
> I am  trying to run a fixed effects panel regression which has more
> than 4000 dummies (based on theory in the gravity model literature in
> inernational economics), and hence close to 5000 variables in the
> regression. The coefficients of the dummy variables are not of any
> interest. The code is as follows: xtreg y x1 x2...... imp_time_*
> exp_time_*, fe cluster(panelvar), where panelvar has been set using -
> xtset- , and imp_time and exp_time are importer-time and exporter-time
> fixed effects respectively. However, the regression had run close to 2
> hours without generating any result at which I stopped it using
> -Break- . I had set the memory to 5000m, and the matsize to 5000 using
> -set- .
>
> My Stata specification is Stata/SE 11.2 for Windows (64-bit x86-64).
> My PC specification: Processor- intel core i5-2430M CPU @ 2.40GhZ;
> RAM- 8 GB, in a 64-bit OS.
>
> I would have greatly appreciated some help to find out if this is
> normal for Stata to take this much time (or more) in the presence of a
> large number of variables, and if there is a way to accomplish the
> task faster. The gravity literature has suggested a couple of ways to
> do this without the dummy variable approach, but I was trying to find
> out if there is a better way to do it if I persist with the dummy
> variables. Any help is greatly appreciated.
>
> Best regards,
> Suryadipta.
> *

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