you should use Mata it is very fast. In my computer (nort especially
fast) a regression with 4000 vars and 5000 observation took
0.42 hour.
HTH
AbdelRahmen
2007/11/7, Scott Merryman <[email protected]>:
> You can recover the fixed effects estimates from -xtreg, fe- with
> -predict var, u-
>
> Scott
>
>
> On Nov 7, 2007 9:20 AM, Richard Boylan <[email protected]> wrote:
> > I am running regress with 4000 x's and it is very slow (if it gives me
> > an answer at all).
> >
> > I was wondering if there are any tricks that one can use to help
> > getting the estimates.
> >
> > The reason why I have so many x's, is that I am estimating a two-stage
> > procedure and I need all the coefficients of the first stage to
> > compute the Murphy-Topel standard errors.
> > For this reason, I end up having to estimate all the fixed effects as
> > dummy variables.
> >
> > Richard
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
AbdelRahmen El Lahga
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
