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OLS with Multiple High Dimensional Category Dummies

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Forfattere:

Gaure, Simen

År:

2010

Referanse:

Memorandum
Nummer i serie: 14

Summary

We present some theoretical results which simplifies the estimation of linear models with multiple high-dimensional fixed effects. In particular, we show how to sweep out multiple fixed effects from the normal equations, in analogy with the common within-groups estimator.

Nøkkelord:

Method of Alternating Projections, Multiple Fixed Effects, OLS

JEL:

C13, C33, C60

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