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st: Time-varying characteristics in a Panel Data.


From   natasha agarwal <agarwana2@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time-varying characteristics in a Panel Data.
Date   Mon, 10 Jan 2011 19:10:46 +0000

Dear statalist,

I have an unbalanced panel data on 15,000 firms for 5 years. I am
estimating a Cobb Douglas production function using a within estimator
with robust standard errors.

I understand that the within estimator would take care of the
unobserved time-invariant firm-level factors. However, I also wanted
to account for time-varying firm-level factors for which I wanted to
include firm*year dummies in the specification.

However, when I generate firm*year dummies and include in the
specification, I have allot of firm*year estimated coefficients and it
probably takes me over a day to estimate the same.

Is there any way in stata that I can deal with it more efficiently?

Many thanks in advance.
Natasha
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