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A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects

Paulo Guimaraes () and Pedro Portugal

No 3935, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: In this paper we describe an alternative iterative approach for the estimation of linear regression models with high-dimensional fixed-effects such as large employer-employee data sets. This approach is computationally intensive but imposes minimum memory requirements. We also show that the approach can be extended to non-linear models and potentially to more than two high dimensional fixed effects.

Keywords: high dimensional fixed effects; linked employer-employee data (search for similar items in EconPapers)
JEL-codes: C01 C81 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2009-01
New Economics Papers: this item is included in nep-ecm
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Published as 'A Simple Feasible Alternative Procedure to Fit Models with High-Dimensional Fixed Effects' in: Stata Journal, 2010, 10 (4), 628-649

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