The Stata command felsdvreg to fit a linear model with two high–dimensional fixed effects

This article proposes a memory-saving decomposition of the design matrix to facilitate the estimation of a linear model with two high-dimensional fixed effects. A common way to fit such a model is to take into account one of the effects by including dummy variables and to sweep out the other effect by the within transformation (fixed-effects transformation). If the number of panel units is high, creating and storing the dummy variables can involve prohibitively large computer-memory requirements. The memory-saving procedure to set up the moment matrices for estimation presented in this article can reduce the memory requirements considerably. The companion Stata ado-file felsdvreg implements the estimation method, takes care of identification issues, and provides useful summary statistics.

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Journal Article
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st0143 (Other)
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Stata Journal, Volume 08, Number 2
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 Record created 2017-04-01, last modified 2017-08-26

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