Home  >>  Archives  >>  Volume 10 Number 4  >>  st0212

The Stata Journal
Volume 10 Number 4: pp. 628-649

Subscribe to the Stata Journal

A simple feasible procedure to fit models with high-dimensional fixed effects

Paulo Guimarães
University of South Carolina
Columbia, South Carolina
and Universidade do Porto
Porto, Portugal
Pedro Portugal
Banco de Portugal and
Universidade Nova de Lisboa
Lisbon, Portugal
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.
Terms of use     View this article (PDF)

View all articles by these authors: Paulo Guimarães, Pedro Portugal

View all articles with these keywords: fixed effects, panel data

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS