I am running regress with 4000 x's and it is very slow (if it gives me
an answer at all).
I was wondering if there are any tricks that one can use to help
getting the estimates.
The reason why I have so many x's, is that I am estimating a two-stage
procedure and I need all the coefficients of the first stage to
compute the Murphy-Topel standard errors.
For this reason, I end up having to estimate all the fixed effects as
dummy variables.
Richard
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