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Re: Re: st: xtreg: double format and memory issues
From
Enrico Cavale <[email protected]>
To
[email protected]
Subject
Re: Re: st: xtreg: double format and memory issues
Date
Thu, 24 Mar 2011 22:19:02 +0100
It sounds like a good idea. Thanks
Enrico
2011/3/24 Christopher Baum <[email protected]>:
> <>
> Xtreg, at least in the way I use it and I reported here, takes out the
> means for the individual_by_year, but introduce 720 dummy variables
> for day FE. That suggests that we need something like 550000
> observations*720 day FE* 8 bytes = 3,186 megabytes + 550,000
> observations*13 variables*8 bytes .= 6.6 megabyte. More or less 3200
> megabytes, but I can allocate only 2900 mb.
>
> Do the time demeaning yourself: it is just transforming the data as y_i,t - y_.,t where y_.,t is the mean value of y across panels for that point in time. You
> can compute those means with egen, or use Ben Jann's -center- command with by time: prefix. Then just run xtreg, fe on the transformed data (you must transform all variables that go into the model, of course). Conceptually you should adjust the s.e.'s for the loss of 720 more d.f., but with over 1/2 million obs, that would be a waste of time.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
>
>
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