I would like to estimate a fixed effects model with a lot of different classes (57,601). The problem is when I run PROC GLM, I get an error saying, "Number of levels for some effects > 32,767." In other words, PROC GLM can only make 32,767 dummy variables and since 57,601 > 32,767, it fails. How am I to work around this problem? Seems like manually making dummy variables and using something like PROC REG wouldn't work because the created data set would be too large. Thank you in advance.
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