Time fixed effects - once again

[Matthias Duch]

Hi guys,

writing my master thesis I am having lots of issues implementing time effects (standard in previous literature).

Parameters:

5900 Observations
Group of three countries


my do-file so far:

import excel "path" firstrow

format CDS_Financials %12.0g
format CDS_Sovereign %12.0g

egen countries = group(Country)

xtset countries Date, daily

xtreg Relative_Repo CDS_Sovereign CDS_Financials OIS i.Date, fe robust (dealing with high cross-correlation)


When i try to execute xtreg w/e i.Date everything works perfectly fine, as soon as I add it STATA asks me to expand set matsize 3074
and my programme (STATA 13) crashes.
I am dealing with high cross-sectional correlation, so I really need to control for that and thought GLS was a good idea.

Hope you can help me!

Best regards,

Matthias

[Carlo Lazzaro]

Matthias:
if you're dealing with a T>N panel dataset, -xtreg- is out of debate.
Take a look at -xtregar- in addition to -xtgls-, instead.

[Matthias Duch]

Thank you very much Carlo!
It kind of worked!
However, for some reason STATA discards one of my dep. variables values. Also
it tells me there were only two countries, though there are actually three.(xtset says strongly balanced)

[Carlo Lazzaro]

Matthias:
- discarded depvar: are you sure that the same value is not repeated along all the observations?
- omitted country: to shelter you from the so called dummy trap (https://en.wikipedia.org/wiki/Dummy_...le_(statistics)), Stata omits one of the category of your categorical predictor (see also -help fvvarlist-). The omitted category acts as reference category.
As an aside, FAQ request not to post screenshots (as they are always impossible to elaborate on and often difficult to read). Use CODE delimiters to post what you typed and what Stata gave you back (as per FAQ again). Thanks.

[Lenny Tran]

you can set matsize much more "bigger" by
set matsize # [, permanently]

more, command : help matsize, normally the default matsize is 400, for your data its too large, and maybe your computer cannot compute
increase matsize takes a lot of memory, and maybe there's nothing left for the code to run