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Re: st: Firm Fixed Effects and ANOVA

From   "JVerkuilen (Gmail)" <>
Subject   Re: st: Firm Fixed Effects and ANOVA
Date   Thu, 11 Oct 2012 19:59:29 -0400

On Thu, Oct 11, 2012 at 6:54 PM,  <> wrote:
> Dear Friends,
> I run an anova (type III partial sum of squares) and will test the firm
> effects for my model. Therefore, I have firm dummies in my model
> (i.firmID). However, the number of unique firms is about 20.000. It takes
> a lot of time until stata produces results. Is there a possibility (e.g.
> user-written algorithm) in which I can run my model within a shorter
> period of time? My model looks like:
> anova variable1 i.firmID;

Well first of all Stata has a nice function -loneway- which would be
of help to you. You can, if you are adept at coding variables, set up
many other models as one-way layouts and do quite a bit using
contrasts, so -loneway- could do more than might be supposed.

But I question whether this is what you really want. It sounds to me
like what you really want is -xtreg- with fixed effects. Also note
that right now you have no explanatory variables, just firm effects
which seems odd.
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