Re: st: suest with large number of fixed effects

[David Jacobs <jacobs.184@sociology.osu.edu>]

The command "areg" is designed for this purpose, but I'm not 100% 
sure that it has a score option or that it's matrix isn't equally large.

Dave Jacobs

At 11:11 AM 9/12/2007, you wrote:

> 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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