IZA DP No. 3935: A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects
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.