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| From | Gui Deng Say <sayxx008@umn.edu> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: Regression with cluster error hangs program |
| Date | Tue, 11 Feb 2014 03:03:11 -0600 |
Hi,
I am using Stata13MP and I have two questions regarding OLS
regressions. I have an unbalanced firm-year panel consisting of 35k
observations, about 4900 firms.
I am trying trying to estimate the following model.
regress DV IV i.firm yrdiff i.firm#c.yrdiff
where yrdiff is a time counter variable, measured relative to a
particular year. The reason i'm using i.firm#c.yrdiff is to control
for firm specific time trend
q1. Firstly, estimating this model takes very long ~ 2 hours. Is this
normal? If not, what might be the reason(s)?
q2. Secondly I tried to cluster the standard errors by firm. i.e. i
tried this model
regress DV IV i.firm yrdiff i.firm#c.yrdiff, vce(cluster firm)
This regression kept running...and in the end, the Stata program
freezes. Any ideas?
Many thanks,
Seb
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