I would like to estimate several regressions separately, but using
suest to obtain more precisely estimate coefficients
So, what I would like to do is:
xtreg y1 x1, i(id) fe
est store eq1
xtreg y2 x2, i(id) fe
est store eq2
xtreg y3 x3, i(id) fe
est store eq3
suest eq1 eq2 eq3, cluster(id)
Given that xtreg does not have a score option, it is discussed in
previous postings that one needs to estimate the model using a linear
regression with dummy variables.
The problem I have is that I have 1000 fixed effects and thus the
matrix computed in suest is going to be way too large.
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