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OLS with Multiple High Dimensional Category Dummies

Author

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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

Suggested Citation

  • Gaure, Simen, 2011. "OLS with Multiple High Dimensional Category Dummies," Memorandum 14/2010, Oslo University, Department of Economics.
  • Handle: RePEc:hhs:osloec:2010_014
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    File URL: https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2010/Memo-14-2010.pdf
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    More about this item

    Keywords

    Method of Alternating Projections; Multiple Fixed Effects; OLS;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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