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

Paulo Guimaraes () and Pedro Portugal

Working Papers from Banco de Portugal, Economics and Research Department

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.

JEL-codes: C01 C81 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w200909

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