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

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Author Info
Guimaraes, Paulo () (University of South Carolina)
Portugal, Pedro () (Universidade Nova de Lisboa)

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Abstract

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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Publisher Info
Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 3935.

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Length: 20 pages
Date of creation: Jan 2009
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Handle: RePEc:iza:izadps:dp3935

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Related research
Keywords: high dimensional fixed effects; linked employer-employee data;

Find related papers by JEL classification:
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Microeconomic Data

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This page was last updated on 2009-11-23.

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