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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 20 Dec 2011 16:24:44 +0100 |

Can you give an an example of your data set? Perhaps we can better see the nature of the problem. Best, J. __________________________________________ 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 20.12.2011 09:43, massimiliano stacchini wrote:

Thanks. However the problem is not solved. The precondition for realizing your strategy is to impose the 'panel' structure to the database by mean of the command ' tsset borrower time' (necessary fo running the command xtreg ..., fe ) However, when I run the command ' tsset borrower time' I get the error message: 'repeated time values within panel'. The error is driven by the presence of multiple lenders for each borrower in the same period (different 'i' for each 'j' in time 't')Can you deal with that ? thanks ----- Messaggio originale ----- Da: John Antonakis<John.Antonakis@unil.ch> A: statalist@hsphsun2.harvard.edu Cc: Inviato: Lunedì 19 Dicembre 2011 19:06 Oggetto: Re: st: huge amount of j-th related individual dummies 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**References**:**Re: st: capturing the sizes of the sequences of countinous (uninterrupted) values equal to 1***From:*massimiliano stacchini <mastacchini@yahoo.it>

**st: huge amount of j-th related individual dummies***From:*massimiliano stacchini <mastacchini@yahoo.it>

**Re: st: huge amount of j-th related individual dummies***From:*John Antonakis <John.Antonakis@unil.ch>

**Re: st: huge amount of j-th related individual dummies***From:*massimiliano stacchini <mastacchini@yahoo.it>

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