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

[John Antonakis <John.Antonakis@unil.ch>]

Hi:

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.

John.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis
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 ?
> thanks 
>
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