OLS with multiple high dimensional category dummies

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.

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Year of publication:	2010
Authors:	Gaure, Simen
Publisher:	Oslo : University of Oslo, Department of Economics
Subject:	Methode der kleinsten Quadrate \| Method of Alternating Projections \| Multiple Fixed Effects \| OLS

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Series:	Memorandum ; 2010,14
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	637363027 [GVK] hdl:10419/47280 [Handle]
Classification:	C13 - Estimation ; C33 - Models with Panel Data ; C60 - Mathematical Methods and Programming. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010285561