Estimation of high-dimensional models

Paulo Guimaraes

Portuguese Stata Users' Group Meetings 2010 from Stata Users Group

Abstract: In this presentation, I provide a detailed discussion of an alternative iterative approach for the estimation of linear regression models with two high-dimensional fixed-effects, such as large employer-employee datasets. I also show how to extend the approach to three high-dimensional fixed effects. Finally, I show how the algorithm may be used for estimation of several high-dimensional nonlinear models.

Date: 2010-09-25
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Persistent link: https://EconPapers.repec.org/RePEc:boc:psug10:01

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