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st: xtlogit, fixed effects, computation time

From   joachim jarreau <[email protected]>
To   [email protected]
Subject   st: xtlogit, fixed effects, computation time
Date   Thu, 21 Jan 2010 16:10:31 +0100

Hi statalist,

Im am trying to estimate a logit regression on a panel dataset with
four dimensions: province i (origin), country j (destination), sector
k and time (year) t. The estimated equation looks like:
P(Xijkt =1) = f (Ait, Bikt, Dijk, Dt)

where Ait are controls varying by province and time, B controls at the
province, sector, time levels, Dijk (ijk) are province-sector-country
dummies and Dt are time dummies.   In stata I do :

egen id=group(country sector province)
xtset id year
xtlogit export y_r lMA_ind yeard2-yeard11, fe

and it works fine - takes about 1/2 hours.
Now I would like to use different fixed effects: not a pure "within"
estimator like above, but one with separated fixed effects for the
province, sector and country dimensions. To do this I defined
"country" as the panel variable in xtset, and added province and
sector-dummies by hand, like:

xtlogit export y_r lMA_ind yeard2-yeard11 provd* sectord*, fe

and my problem is that this takes much too long: after about 20 hours
there was not one iteration displayed yet . I suppose the reason is
that when adding dummies in the regression line, these variables are
added to the list of regressors, whereas when they are associated to
the panel variable, stata only has to de-mean the variables within
each group, so that the regressor matrix size is not increased ?  What
can I do about it, is there a way to have the specification with
separated fixed effects estimated in reasonable time?

thank you in advance for your help.

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