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


From   Suryadipta Roy <sroy2138@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Regression with about 5000 (dummy) variables
Date   Thu, 19 Apr 2012 10:57:35 -0400

Austin,
Thank you very much! I would work with it, and get back to the list if
this works or not.

Best regards,
Suryadipta.

On Thu, Apr 19, 2012 at 10:44 AM, Austin Nichols
<austinnichols@gmail.com> wrote:
> 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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