[Gretl-devel] Re: Regression with many dummies (RFC)
On Fri, Oct 17, 2025 at 10:27 AM Riccardo (Jack) Lucchetti
<p002264(a)staff.univpm.it> wrote:
Hi all,
I've begun to explore the issue of the numerical performance of OLS regression, where
you want to condition on a qualitative variable with many different values [and have come
up with an efficient solution].
This is nice. I'd say it's a bit too specialized to be an option to
"ols", and a function package would be a good way to go. But since it
seems that aggregate() does the heavy lifting, we could revisit that
to see if there's a tweak that could speed things up in this case.
However, I wouldn't be opposed to a new "fols" command (fols y xlist ;
faclist) if that has an additional speed advantage.
Allin