A Simple Feasible Alternative Procedure to Estimate Models with High-Dimensional Fixed Effects

By Paulo Guimarães, Pedro Portugal. Social Science Research Network, 2009

154 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b9ea165de01f7a6584b91ce07d5ca12dd0c1f6f0

Citations in the corpus

• Reputation Formation and the Evolution of Cooperation in Anonymous Online Markets (2014, unknown): “For the two-way fixed-effects model, we use Schmieder’s (2009) implementation of an algo-rithm proposed by Guimarães and Portugal (2010).”
• Exporter behavior, country size and stage of development: evidence from the exporter dynamics database (2015, unknown): “The estimation method PPML used in columns (1)-(6) is the Poisson Pseudo-Maximum Likelihood proposed by Silva and Tenreyro (2006) while that used in columns (7)-(9) is the modification proposed by Guimaraes and Portugal (2010) to accommodate large numbers of fixed effects.”
• Gravity Equations: Workhorse,Toolkit, and Cookbook (2013, unknown): “The command we have employed is reg2hdfe by Guimaraes and Portugal (2010) which allows for clustered standard errors.”