A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects
20 Pages Posted: 19 Jan 2009
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
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