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

We develop a methodology for estimating and testing the effect of anomalies in conditional asset pricing models when premia are time-varying. Our method, which builds on the two-pass methodology, is developed for ordinary and weighted least-squares estimation, considering both cases of correct...