st: xtreg: double format and memory issues

[Enrico Cavale <tolacahc@gmail.com>]

Hello everybody,

I'm writing to statalist because I have a memory issue. I need to
estimate a two-way fixed effects model with the constant. In
particular I have 12 regressors, 550000 observations, 3066
individual_by_year fixed effects and 720 daily fixed effects. In stata
it looks like:

xtreg y x1 x2 .... x12 _Iday_*,  fe i(individual_by_year) cluster(individual)

If I'm right I would need something like 3200 mb to run that command,
but I can allocate only 2900 mb. Nevertheless, I noticed that the
modules xtreg.ado, xtreg_fe.ado and regress.ado generate double. So, I
thought that it may be possible to change those double in float and
the memory requirement would drop of half. I tried to figure out how
to change the code, but it seems very difficult to understand the
entire code and then what to change. I thought that maybe someone have
already had  the idea to made this change. Can you help me?

Thanks,
Enrico
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