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...

This paper studies large dimensional factor models with threshold-type regime shifts in the loadings. We estimate the threshold by concentrated least squares, and factors and loadings by principal components. The estimator for the threshold is super consistent, with convergence rate that depends...