A Simple Feasible Procedure to fit Models with High-dimensional Fixed Effects

By Paulo Guimarães, Pedro Portugal. 2010

432 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3a5620827db8ef29f8ad1da759cad9ed787df6cc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Statistics and Probability

Citations in the corpus

Reputation Formation and the Evolution of Cooperation in Anonymous Online Markets (2014, methodology): “For the two-way fixed-effects model, we use Schmieder’s (2009) implementation of an algorithm proposed by Guimarães and Portugal (2010).”
Mismatch Unemployment and the Geography of Job Search (2018, neutral): “For the model with two-way xed e ects, we follow the estimation procedure proposed by Guimarães and Portugal (2010) and are only able to perform the estimation on a 10% random subsample, given the computational burden.”
Do Managers Overreact to Salient Risks? Evidence from Hurricane Strikes (2017, methodology): “Neighboring firms might anticipate that banks will be constrained after the 36 See Web Appendix for a detailed description of our event study methodology.”
Revisiting event study designs: robust and efficient estimation (2021, methodology): “First, it is computationally efficient as it only requires estimating a simple TWFE model, for which fast algorithms are available (Guimarães and Portugal 2010; Correia 2017). This is in contrast to the OLS estimator from Theorem 1, as equation (4) has regressors ΓitDit in addition to the fixed effe”
Fast Poisson estimation with high-dimensional fixed effects (2019, methodology): “A couple of years later, Guimar˜aes and Portugal (2010) discussed an alternative algorithm for estimation of models with HDFE.”
No Taxation Without Information: Deterrence and Self-Enforcement in the Value Added Tax (2015, methodology): “42 To address the large computational demands of two sets of high-dimensional fixed effects, Stata routine reg2hdfe was used (Guimaraes and Portugal 2010).”
This Mine is Mine! How Minerals Fuel Conflicts in Africa (2015, methodology): “We have created a new STATA routine based on the one from Hsiang, Meng, and Cane ( 2011 ) ( ols_spatial_HAC.ado ) .ado: itself based on the work and its extension to multidimensional fixed effects by Thiemo Fetzer ( reg2hdfespatial estimations in samples of Guimaraes and Portugal 2010 .”
Assessing Rothstein's critique of teacher value‐added models (2012, methodology): “16Similar estimation techniques have been proposed in Abowd, Creecy, and Kramarz (2002), Guimaraes and Portugal (2010), and Kramarz, Machin, and Ouazad (2008). See Smyth (1996) for a review of common iterative estimation methods.”