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Estimating high-dimensional fixed-effects models

Author

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  • Paulo Guimaraes

    () (University of South Carolina)

  • Pedro Portugal

    (Bank of Portugal)

Abstract

In this presentation, I describe an alternative iterative approach for the estimation of linear regression models with high-dimensional fixed-effects, such as large employer–employee datasets. This approach is computationally intensive but imposes minimum memory requirements. I also show that the approach can be extended to nonlinear models and potentially to more than two high-dimensional fixed effects. Note: The presentation is based on a paper that is currently under review at the Stata Journal.

Suggested Citation

  • Paulo Guimaraes & Pedro Portugal, 2009. "Estimating high-dimensional fixed-effects models," DC09 Stata Conference 2, Stata Users Group.
  • Handle: RePEc:boc:dcon09:2
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    Cited by:

    1. González de San Román, Ainara & Rebollo-Sanz, Yolanda F., 2014. "An estimation of worker and firm effects with censored data," Economics Discussion Papers 2014-28, Kiel Institute for the World Economy (IfW).

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