I generated a panel data set with N = 1,000,000 and T = 30, with a staggered intervention starting at t = 28 and two control variables. Without the unit and year fixed effects, there are 56 regressors. This is exactly the setting that xthdidregress twfe was designed to handle (based on my work on staggered interventions). When I tried various estimation commands, xtreg with the fe option ran in 6.4 minutes, user-written command reghdfe in 89.2 minutes, and I had to stop the program after 5.5 hours for xthdidregress twfe.
These large discrepancies are surprising to me, as one is simply using the within estimator with time dummies and 56 explanatory variables. Cleary 6.4 minutes is acceptable for such a large data set. The run time with xthdidregress twfe makes it almost unusable for large problems.
I'm using Stata 18 SE.
These large discrepancies are surprising to me, as one is simply using the within estimator with time dummies and 56 explanatory variables. Cleary 6.4 minutes is acceptable for such a large data set. The run time with xthdidregress twfe makes it almost unusable for large problems.
I'm using Stata 18 SE.
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