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Re: st: huge amount of j-th related individual dummies

From   John Antonakis <>
Subject   Re: st: huge amount of j-th related individual dummies
Date   Mon, 19 Dec 2011 19:06:42 +0100


You can easily solve your problem of modeling the fixed-effects by using procedure not known to many--that is, including the cluster level mean of the panel-varying variable gives the same estimates as using dummy variables. For a technical explanation see:

Mundlak, Y. (1978). Pooling of Time-Series and Cross-Section Data. Econometrica, 46(1), 69-85.

For a basic intuitive explanation see:

Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On making causal claims: A review and recommendations. The Leadership Quarterly, 21(6), 1086-1120.

To see specific examples in action with data, see:

Rabe-Hesketh, S., & Skrondal, A. (2008). Multilevel and Longitudinal Modeling Using Stata. College Station, TX: Stata Press.

Hope this helps.



Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
Associate Editor
The Leadership Quarterly

On 19.12.2011 16:46, massimiliano stacchini wrote:
Dear users,
I need to
run in STATA the following model   y(i , j , t)  = X(i , j , t ) + D(i) + F(j) + H(t)D(i) F(j), H(t)  represent a set of fixed effects dummies respectively for the i-th lender , the j-th borrower and the it-th period.
The problem is that I have 60,000
borrowers (60,000 j-th related dummies).

The command:

xi: regress rate  i.borrower ....i.time i.lender

does not support a so
huge amount of related-to-borrowers –dummies.

Could you suggest me how can I deal with this problem ?
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