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
Publisher:	Bonn : Institute for the Study of Labor (IZA)
Subject:	Regression \| Schätztheorie \| Statistische Erhebung \| Arbeitsmarktstatistik \| Theorie \| High dimensional fixed effects \| linked employer-employee data

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Series:	IZA Discussion Papers ; 3935
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	589811835 [GVK] hdl:10419/35698 [Handle]
Classification:	C01 - Econometrics ; C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010269291