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Feasible fitting of linear models with N fixed effects

Author

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  • Fernando Rios-Avila

    (Levy Economics Institute of Bard College)

Abstract

In this article, I describe an alternative approach for fitting linear models with multiple high-order fixed effects. The strategy relies on transforming the data before fitting the model. While the approach is computationally intensive, the hardware requirements for the fitting are minimal, allowing for estimation in models with multiple high-order fixed effects for large datasets. I illustrate implementing this approach using the U.S. Census Bureau Current Population Survey data with four fixed effects. I also present a new Stata command, regxfe, for implementing this strategy. Copyright 2015 by StataCorp LP.

Suggested Citation

  • Fernando Rios-Avila, 2015. "Feasible fitting of linear models with N fixed effects," Stata Journal, StataCorp LP, vol. 15(3), pages 881-898, September.
    • Handle: RePEc:tsj:stataj:v:15:y:2015:i:3:p:881-898
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    Citations

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    Cited by:

    1. Jaimovich, Esteban & Madzharova, Boryana & Merella, Vincenzo, 2023. "Inside the white box: Unpacking the determinants of quality and vertical specialization," European Economic Review, Elsevier, vol. 152(C).
    2. Wolff, François-Charles & Asche, Frank, 2022. "Pricing heterogeneity and transaction mode: Evidence from the French fish market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 67-79.
    3. Qizheng Gao & Jianqing Zhang & Guo Chen, 2023. "Firm heterogeneity, biased technological change, and total factor productivity: Evidence from China," Journal of Productivity Analysis, Springer, vol. 60(2), pages 147-177, October.
    4. Giancarlo Corsetti & Meredith Crowley & Lu Han & Huasheng Song, 2018. "Markets and Markups: A New Empirical Framework and Evidence on Exporters from China," Discussion Papers 1803, Centre for Macroeconomics (CFM).
    5. Souza, Paulo Vitor Souza de & Ribeiro, João Paulo Machado & Paulo, Edilson, 2024. "Organizational complexity and value relevance under the regulatory and financial standards of Brazilian electric power companies," Energy Policy, Elsevier, vol. 186(C).
    6. Rios-Avila, Fernando & Siles, Leonardo & Canavire Bacarreza, Gustavo J., 2024. "Estimating Quantile Regressions with Multiple Fixed Effects through Method of Moments," IZA Discussion Papers 17262, Institute of Labor Economics (IZA).

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