A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects
Paulo Guimaraes () and
Working Papers from Banco de Portugal, Economics and Research Department
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (75) Track citations by RSS feed
Downloads: (external link)
Working Paper: A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w200909
Access Statistics for this paper
More papers in Working Papers from Banco de Portugal, Economics and Research Department Contact information at EDIRC.
Bibliographic data for series maintained by DEE-NTD ().