A simple feasible procedure to fit models with high-dimensional fixed effects

Paulo Guimaraes, José Pedro Portugal Dias

Research output: Contribution to journalArticlepeer-review

228 Citations (Scopus)

Abstract

In this article, we describe an iterative approach for the estimation of linear regression models with high-dimensional fixed effects. This approach is computationally intensive but imposes minimum memory requirements. We also show that the approach can be extended to nonlinear models and to more than two high-dimensional fixed effects.
Original languageEnglish
Pages (from-to)628-649
JournalStata Journal
Volume10
Issue number4
Publication statusPublished - 1 Jan 2010

Keywords

  • st0212
  • fixed effects
  • panel data

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