st: problem with negative binomial fixed effect model

[Nahla Betelmal <nahlaib@gmail.com>]

Dear Statalist,

I want to apply fixed effect negative binomial model on my panel data.
the panel variable is firm and I  control for year effect by year
indicator variable as follow:

xtnbreg dependent-variable independent-variables i.year, fe

However, I found this paper by Paul D. Allison and Richard Waterman,
"FIXED-EFFECTS NEGATIVE BINOMIAL REGRESSION MODELS " which argues that
the above command does not actually produce the correct fixed-effect
negative binomial model.

http://www.ssc.upenn.edu/~allison/FENB.pdf

Instead the authors present the case to include indicator variable
(dummy variable) to get the fixed-effect estimates, so the command
should be as follow

nbreg dependent-variable independent-variables i.year i.firm


In my case there is a problem in using this command as I have large
number of firms, 1,200 firms for years from 1993-2010. I got the error

matsize too small, r(908);

Is there a way in Stata to get the correct fixed-effect estimates as
suggested by the above authors ? I have 12.1 version, MP edition

Thank you for all the help

Best Regards

Nahla Betelmal
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