Hi Statalist,
I am running an IV regression that interacts the endogenous variable with year and industry fixed effects with about 3 million observations and it takes about 5, 6 hours or even longer. I would like to know how to speed this up because I need to bootstrap the regression to generate a standard error.
The regression in Stata command is as follow: ivregress 2sls y i.year i.industry some_controls (x c.x#i.industry#i.year = z c.z#i.industry#i.year)
There are about 300 industries and 15 years. So maybe because there are so many parameters to estimate, the model takes a long time to run. I tried to run this in Stata-MP but for some reason, there is not much speed gain. I am not sure what else I can do.
Thank you,
Jeff
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