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
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