"If you are looking at matsize help you can see that
the 800 limitation is only for Intercooled STATA. For
STATA/SE you can go up to 11000 (I have STATA 8.2, but
I suppose that this is true also for STATA 9)."
Yes, you can set the matsize to 11000 in Stata/SE, but think about
just how much memory a matrix of that size will consume... Mata in
Stata 9.x has a lot more capability to deal with mega-matrices, but
if you're using a Stata command such as xtgls that uses the 'old'
matrix language, you need the matsize. Or an alternative approach to
doing GLS in a xt-context!
