st: negative binomial models with large fixed effect group size

[KBW <bunker@stanford.edu>]

Hi Statalist,
1)  I am having trouble making sense of the best route to take regarding 
fixed effects and negative binomial regression.  I have approximately 5,000 
individuals with an average of 10 observations each that I would like to 
obtain fixed effects estimates (within-individuals) for in a negative 
binomial regression.  I've read the "xtnbreg, fe" does not perform a 
conventional individual fixed effects estimator, but that I can obtain what 
I am looking for by running nbreg with dummy variables for each individual 
and then correcting the standard errors afterwards.  The problem is that it 
is challenging, if not realistically impossible, time-wise, to run these 
models with 5,000 dummy variables.  Does anyone know of an alternative way 
to achieve this goal (in Stata, or even another package)?

2)  In addition, if I were to run nbreg with dummy variables for the fixed 
effects, how does one interpret time-invariant independent variables in 
models?  I realize that in theory time-invariant variables and fixed 
effects don't make sense, but in the few test models I have run (with 
smaller subsets of the dataset and using reg instead of nbreg) running 
"reg" with fixed effect dummy variables produces the same coefficients as 
"xtreg" for the time-variant variables, but "xtreg" drops the 
time-invariant one (expected) and "reg" does not.  What, then, is the 
meaning of the "reg" output for time-invariant variables when individual 
dummies have been included in the model?

Thanks very much for your assistance!
KW

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