English, Article, Journal or magazine article edition: Using Stata for a memory-saving fixed-effects estimation of the three-way error-components model Thomas Cornelissen

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/176137
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Using Stata for a memory-saving fixed-effects estimation of the three-way error-components model
Author
  • Thomas Cornelissen
Physical Description
  • preprint
Notes
  • Researchers trying to estimate tens or hundreds of thousands of fixed effects for two or more groups (workers and firms; pupils, teachers and schools; etc.) in datasets with high numbers of observations are often limited by the size of computer memory available. Such a model is commonly estimated by sweeping out one of the effects by the fixed-effects transformation (time-demeaning) and by including the remaining effects as dummy variables. If K is the number of fixed effects to be included as dummy variables, and N is the number of observations, then the design matrix is of dimension N x K (neglecting any remaining right-hand-side regressors). The time-demeaned dummies have to be stored as “float” variables consuming 8 bytes per cell in Stata. For example, with 2 million observations (N) and 10 thousand fixed effects (K), the memory requirement would be 160 gigabytes. This paper describes how the memory requirement can be reduced to store only a K x K matrix, which in the given example reduces the memory requirement to below 1 gigabyte. The paper also describes the Stata program felsdvreg.ado, which implements the method in Mata. Besides implementing the memory-saving estimation method, the program also takes care of checking the identification of the effects and provides useful summary statistics.
  • RePEc:boc:dsug08:07
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment