OLS with Multiple High Dimensional Category Dummies

Simen Gaure

Memo 14/2010

Last ned memo

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.

Published June 20, 2014 1:33 PM - Last modified Jan. 24, 2019 11:43 AM