Re: st: xtlogit, fixed effects, computation time

[Xiang Ao <xao@hbs.edu>]

Your original specification

xtlogit export y_r lMA_ind yeard2-yeard11, fe

already has fixed effect on id, which is the combination of country, 
sector, and province.  In my opinion, you should not put in province and 
sector dummies in, since id is a finer level.

Xiang

joachim jarreau wrote:
> Hi statalist,
>
> Im am trying to estimate a logit regression on a panel dataset with
> four dimensions: province i (origin), country j (destination), sector
> k and time (year) t. The estimated equation looks like:
> P(Xijkt =1) = f (Ait, Bikt, Dijk, Dt)
>
> where Ait are controls varying by province and time, B controls at the
> province, sector, time levels, Dijk (ijk) are province-sector-country
> dummies and Dt are time dummies.   In stata I do :
>
> egen id=group(country sector province)
> xtset id year
> xtlogit export y_r lMA_ind yeard2-yeard11, fe
>
> and it works fine - takes about 1/2 hours.
> Now I would like to use different fixed effects: not a pure "within"
> estimator like above, but one with separated fixed effects for the
> province, sector and country dimensions. To do this I defined
> "country" as the panel variable in xtset, and added province and
> sector-dummies by hand, like:
>
> xtlogit export y_r lMA_ind yeard2-yeard11 provd* sectord*, fe
>
> and my problem is that this takes much too long: after about 20 hours
> there was not one iteration displayed yet . I suppose the reason is
> that when adding dummies in the regression line, these variables are
> added to the list of regressors, whereas when they are associated to
> the panel variable, stata only has to de-mean the variables within
> each group, so that the regressor matrix size is not increased ?  What
> can I do about it, is there a way to have the specification with
> separated fixed effects estimated in reasonable time?
>
>
> thank you in advance for your help.
>
>
> joachim
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