Hi Everyone,

I am trying to estimate the following model:

Y_ijt = alpha + Beta1*X1 + Beta2*X2 + Beta3*X3 + Beta4*X4 + gamma_it + omega_jt + error

where i is the stock identifier, j is the fund identifier, and t is time. gamma_it is stock-time, and omega_jt is fund-time fixed effects

I have a huge dataset (300K observations) with lots of stocks and funds. So, adding dummies for stock-time and fund-time fixed effects create lots of dummies. Is there a way to implement this in Stata?

Thanks in advance.

Best,
Ulas