A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects

20 Pages Posted: 19 Jan 2009

See all articles by Paulo Guimaraes

Paulo Guimaraes

University of South Carolina - Darla Moore School of Business; IZA Institute of Labor Economics

Pedro Portugal

Bank of Portugal - Research Department; New University of Lisbon; IZA Institute of Labor Economics

Abstract

In this paper we describe an alternative iterative approach for the estimation of linear regression models with high-dimensional fixed-effects such as large employer-employee data sets. This approach is computationally intensive but imposes minimum memory requirements. We also show that the approach can be extended to non-linear models and potentially to more than two high dimensional fixed effects.

Keywords: high dimensional fixed effects, linked employer-employee data

JEL Classification: C01, C81

Suggested Citation

Guimaraes, Paulo and Portugal, Pedro, A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects. IZA Discussion Paper No. 3935, Available at SSRN: https://ssrn.com/abstract=1329573

Paulo Guimaraes (Contact Author)

University of South Carolina - Darla Moore School of Business ( email )

1705 College St
Francis M. Hipp Building
Columbia, SC 29208
United States

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Pedro Portugal

Bank of Portugal - Research Department ( email )

Av. Almirante Reis 71, 6th
Lisbon 1150-012
Portugal
+351 21 313 0000 (Phone)
+351 21 814 3841 (Fax)

New University of Lisbon

Lisbon, 1099-085
Portugal

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

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