A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects
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.
|Date of creation:||Jan 2009|
|Publication status:||published in: Stata Journal, 2010, 10 (4), 628-649|
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- Anabela Carneiro & Paulo Guimaraes & Pedro Portugal, 2009. "Real Wages and the Business Cycle: Accounting for Worker and Firm Heterogeneity," CEF.UP Working Papers 0903, Universidade do Porto, Faculdade de Economia do Porto.
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- Carneiro, Anabela & Guimaraes, Paulo & Portugal, Pedro, 2009. "Real Wages and the Business Cycle: Accounting for Worker and Firm Heterogeneity," IZA Discussion Papers 4174, Institute for the Study of Labor (IZA).
- Paulo Guimaraes, 2004. "Understanding the multinomial-Poisson transformation," Stata Journal, StataCorp LP, vol. 4(3), pages 265-273, September.
- John M. Abowd & Robert H. Creecy & Francis Kramarz, 2002. "Computing Person and Firm Effects Using Linked Longitudinal Employer-Employee Data," Longitudinal Employer-Household Dynamics Technical Papers 2002-06, Center for Economic Studies, U.S. Census Bureau. Full references (including those not matched with items on IDEAS)
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