Re: st: Regression with cluster error hangs program

[Gui Deng Say <sayxx008@umn.edu>]

Hi Alfonso, thanks for your reply and for your time. I see what you mean.

Could you elaborate regarding the noconstant point why it's not necessary?

At this point I do not need the coefficients for dummies. But i do
need to take into account the time trend interaction to see if it's
driving my results.

To save some time, I tried xtreg, fe  without including i. Firm but
still including the i.firm#yrdiff. This cuts down about 20 percent of
waiting time. However, when I tried to cluster by firm, the software
once again kept running and hangs.

I'm wondering why stata crashes whenever I try to cluster errors by
firm. Or more great broadly, under what circumstances does stata hang
when running regressions?

Best,
Seb

On Tue, Feb 11, 2014 at 1:24 PM, Gui Deng Say <sayxx008@umn.edu> wrote:
> Hi Alfonso, thanks for your reply and for your time. I see what you mean.
>
> Could you elaborate regarding the noconstant point why it's not necessary?
>
> At this point I do not need the coefficients for dummies. But i do need to
> take into account the time trend interaction to see if it's driving my
> results.
>
> To save some time, I tried xtreg, fe  without including i. Firm but still
> including the i.firm#yrdiff. This cuts down about 20 percent of waiting
> time. However, when I tried to cluster by firm, the software once again kept
> running and hangs.
>
> I'm wondering why stata crashes whenever I try to cluster errors by firm. Or
> more great broadly, under what circumstances does stata hang when running
> regressions?
>
> Best,
> Seb
>
> On Feb 11, 2014 6:48 AM, "Alfonso Sanchez-Penalver"
> <alfonso.statalist@gmail.com> wrote:
>>
>> Hi Seb,
>>
>> A couple of comments. First if you want both the main effects and the
>> interaction effect you can write -i.firm##c.yrdiff- instead of having to
>> write things twice.
>>
>> My second question is why do you expect further correlation of the errors
>> by firm, which is what clustering the variance corrects for. By further
>> correlation I mean that you are already accounting for differences in the
>> unobserved means by firm by introducing he firms' dummies, so how would the
>> errors be correlated within the firms now that they don't have differences
>> in values?
>>
>> Lastly I would suggest using no constant in your regression since you have
>> both firm fixed effects and firm specific trends.
>>
>> I hope this helps,
>>
>> Alfonso Sanchez-Penalver
>>
>> > On Feb 11, 2014, at 4:03 AM, Gui Deng Say <sayxx008@umn.edu> wrote:
>> >
>> > 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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