st: Stata13 Wishlist- dealing with large number of fixed effects and dummy variables

[Suryadipta Roy <sroy2138@gmail.com>]

This is a general SOS call in dealing with large number of fixed
effects (or dummy variables) with commonly used Stata commands, e.g.
-reg- , -heckman- , -xtreg-, etc., viz. in dealing with large dyadic
datasets (e.g. used in the gravity literature in international
economics). For example, I was trying to run -heckman- with over
34,000 dummy variables in a panel data for over 150 importer-exporter
countries over 25 years, where I need to control for various kinds of
fixed effects, and Stata has not been able to complete a single
regression after running for about 10 hours. I have had similar
experiences with the above-mentioned commands as well for large
datasets. -areg- , to a certain extent addresses the problem, but then
runs into problems when one needs to control for a different kinds of
fixed effects. For the record, I am using StataMP 12.1 in a dual core
processor machine (8 GB memory), and the form of the -heckman-command
that I was using is below:
heckman dep_var ind_vars, select(selct_depvar = ind_vars excluded_var
i.fixed_effects1 i.fixed_effects2) twostep, where fixed_effects1 and
fixed_effects2 each comprises of a large number of dummy variables.

I wish there was a general help for this kind of problem with Stata 13.

Sincerely,
Suryadipta.
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