IV regression with high-dimensional fixed effects

[HyunSahn Ko]

Hello,

I am trying to run IV regression with high dimensional fixed effects (e.g., firm fixed effects)

Here is my syntax:
xtivreg ch_abs log_size btm i.GVKEY i.FYEAR (m_b_ch_ab=m_b_focal_1), fe vce(cluster GVKEY)

The problem is that it takes too much time and fails to present the results (due to too many dummies).

In this case, what would be an alternative approach that I may use?

Thanks!

Best,

[Andrew Musau]

See

ssc install ivreghdfe, replace
help ivreghdfe

[HyunSahn Ko]

It works! Thank you!! Andrew

[Joro Kolev]

GVKEY is the firm identifier, no? When you show -xt- commands you should also show how you xt-set your data...

Your code does not make sense if GVKEY is your firm identifier, your GVKEY fixed effects are already included by the xt command, why do you need to include them second time with i.GVKEY