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

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.

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Year of publication:	2009
Authors:	Guimarães, Paulo ; Portugal, Pedro
Institutions:	Banco de Portugal

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Classification:	C01 - Econometrics ; C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008524249