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Re: st: Stata13 Wishlist- dealing with large number of fixed effects and dummy variables


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata13 Wishlist- dealing with large number of fixed effects and dummy variables
Date   Tue, 5 Feb 2013 17:14:21 +0000

I agree with Billy.

Although I sympathise with Suryadipta, it is difficult to see what
kind of help is being asked for here that Stata 13 should provide.
That a program should signal that you are trying something too
difficult? That the documentation should include advice on modelling
strategy? Specific suggestions are surely needed here.

Nick

On Tue, Feb 5, 2013 at 1:40 PM, William Buchanan
<william@williambuchanan.net> wrote:

> How many observations are in your dataset and have you considered that the problem might be with the model you are fitting to the data?  It doesn't seem remotely parsimonious to use that many indicators (or it hardly seems that a model with that many variables is simplifying the true data generating process).  Maybe you could provide some example that others could replicate in order to get a better idea of the difficulty you're running into.

On Feb 5, 2013, at 5:08, Suryadipta Roy <sroy2138@gmail.com> wrote:

>> This is a general SOS call in dealing with large number of fixed
>> effects (or dummy variables) with commonly used Stata commands, e.g.
>> -reg- , -heckman- , -xtreg-, etc., viz. in dealing with large dyadic
>> datasets (e.g. used in the gravity literature in international
>> economics). For example, I was trying to run -heckman- with over
>> 34,000 dummy variables in a panel data for over 150 importer-exporter
>> countries over 25 years, where I need to control for various kinds of
>> fixed effects, and Stata has not been able to complete a single
>> regression after running for about 10 hours. I have had similar
>> experiences with the above-mentioned commands as well for large
>> datasets. -areg- , to a certain extent addresses the problem, but then
>> runs into problems when one needs to control for a different kinds of
>> fixed effects. For the record, I am using StataMP 12.1 in a dual core
>> processor machine (8 GB memory), and the form of the -heckman-command
>> that I was using is below:
>> heckman dep_var ind_vars, select(selct_depvar = ind_vars excluded_var
>> i.fixed_effects1 i.fixed_effects2) twostep, where fixed_effects1 and
>> fixed_effects2 each comprises of a large number of dummy variables.
>>
>> I wish there was a general help for this kind of problem with Stata 13.

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