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st: Quantile Regression with FE


From   "Swanquist, Quinn Thomas" <qswanqui@utk.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Quantile Regression with FE
Date   Sun, 17 Feb 2013 18:52:51 +0000

Statalist,

I am trying to estimate a quantile regression with FE (I am interested in the median only). The code I am using is:

xi: bsqreg depvar indvars i.gvkey, quantile(.5) reps(100)

The problem is my version of STATA 11.2 (IC) gives the following error:
matsize too small
    You have attempted to create a matrix with too many rows or columns or attempted to fit a model with too many variables.  You need to increase matsize; it is currently
    800.  Use set matsize; see help matsize.
    If you are using factor variables and included an interaction that has lots of missing cells, either increase matsize or set emptycells drop to reduce the required
    matrix size; see help set emptycells.
    If you are using factor variables, you might have accidentally treated a continuous variable as a categorical, resulting in lots of categories.  Use the c. operator on
    such variables.

On another machine I get the following error:
no room to add more variables
   	 Up to 2,048 variables are allowed with this version of Stata.  Versions are available that allow up to 32,767 variables.

It seems the variable limit for IC that won't allow me to create the necessary binary variables for i.FEvar. Is there a more efficient way to estimate this similar to -xtreg-? Also, is there a way to remove the coefficients on i.FEvar similar to -areg-?

Thanks in advance for any help,

Quinn
qswanqui@utk.edu



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