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

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. Copyright 2010 by StataCorp LP.

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Year of publication:	2010
Authors:	Guimarães, Paulo ; Portugal, Pedro
Published in:	Stata Journal. - StataCorp LP. - Vol. 10.2010, 4, p. 628-649
Publisher:	StataCorp LP
Subject:	fixed effects \| panel data

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Type of publication:	Article
Notes:	to access software from within Stata, net describe http://www.stata-journal.com/software/sj10-4/st0212/
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008784392