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st: Fixed Effects with ID specific Time Trends - Computation Time

From   Franco Solleza <>
Subject   st: Fixed Effects with ID specific Time Trends - Computation Time
Date   Wed, 6 Mar 2013 10:33:17 -0500


I am currently running a regression on panel data where the right hand
side includes fixed effects on an id variable, and a time trend for
each id variable. As you might imagine this leads to a large number of
parameters (twice the number of id variables minus 1 -- for the

Ignoring for a moment issues that might arise concerning degrees of
freedom, the issue I am running into is when there are many id

Sometimes, the regressions have ~28k parameters.

The command I am using to run this model is:

xi: areg y x id*_time_trend [aw=weightvariable], absorb(id)

The issue I run into is that these models take more than 24 hours to run!

I've been trying to figure out a way to speed up computation time but
have not been able to do so. If anyone has any suggestions on how to
speed things up, that would be great!


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