Performing an analysis of variance (ANOVA) on a large dataset spanning many dimensions becomes computationally challenging or even infeasible. We develop a new, fast procedure, ANOVA-HDFE, which uses sequential linear regressions and builds on recent advances in regression analysis with...

Performing an analysis of variance (ANOVA) on a large dataset spanning many dimensions becomes computationally challenging or even infeasible. We develop a new, fast procedure, ANOVA-HDFE, which uses sequential linear regressions and builds on recent advances in regression analysis with...