I'm trying to do a regression on my panel data. Say I have T=3500 days of data and N=125 firms.
Since Matlab get's major memory issues (which I try to prevent by the usual solutions as seen on the Mathworks site), because my panel was too big, I decided to only look at 700 days of data and to take averages of a number of firms to get N=5.
I discovered that the way I take these averages/medians heavily influences my regression results. If I first sort the firms on the size of the dependent variable and then make 5 groups to average them, I'll get less significant results than when I used another (default) sorting (almost alphabetic).
So what is the way to go in these kind of situations?