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IZA Discussion Paper No. 3935
January 2009
A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects
Paulo Guimaraes, Pedro Portugal

published as 'A Simple Feasible Alternative Procedure to Fit Models with High-Dimensional Fixed Effects' in: Stata Journal, 2010, 10 (4), 628-649

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.

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