A Simple Feasible Procedure to fit Models with High-dimensional Fixed Effects
Paulo GuimarãesUniversity of South Carolina Columbia, South Carolina
and Universidade do Porto Porto, PortugalPedro PortugalBanco de Portugal and Universidade Nova de Lisboa
Lisbon, Portugal
2010en
ABI
Abstract
In this article, we describe an iterative approach for the estimation of linear regression models with high-dimensional fixed effects. This approach is computationally intensive but imposes minimum memory requirements. We also show that the approach can be extended to nonlinear models and to more than two high-dimensional fixed effects.
Identifiers
Citations and references
Cited by 20 references