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OLS with Multiple High Dimensional Category Dummies

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  • Gaure, Simen

    ()
    (Dept. of Economics, University of Oslo)

Abstract

We present some theoretical results which simplifies the estimation of linear models with multiple high-dimensional fixed effects. In particular, we show how to sweep out multiple fixed effects from the normal equations, in analogy with the common within-groups estimator

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File URL: https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2010/Memo-14-2010.pdf
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Bibliographic Info

Paper provided by Oslo University, Department of Economics in its series Memorandum with number 14/2010.

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Length: 7 pages
Date of creation: 03 Jan 2011
Date of revision:
Handle: RePEc:hhs:osloec:2010_014

Contact details of provider:
Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
Email:
Web page: http://www.oekonomi.uio.no/indexe.html
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Related research

Keywords: Method of Alternating Projections; Multiple Fixed Effects; OLS;

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