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Feasible Estimation of Linear Models with N-fixed Effects

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  • Fernando Rios-Avila

Abstract

In this paper an alternative approach for the estimation of higher-order linear fixed-effects models is described. The strategy relies on the transformation of the data prior to calculating estimations of the model. While the approach is computationally intensive, the hardware requirements for the estimation process are minimal, allowing for the estimation of models with more than two high-order fixed effects for large datasets. An illustration of the implementation is presented using the US Census Bureau Current Population Survey data with four fixed effects.

Suggested Citation

  • Fernando Rios-Avila, 2013. "Feasible Estimation of Linear Models with N-fixed Effects," Economics Working Paper Archive wp_782, Levy Economics Institute.
    • Handle: RePEc:lev:wrkpap:wp_782
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    File URL: http://www.levyinstitute.org/pubs/wp_782.pdf
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    References listed on IDEAS

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    1. Martyn Andrews & Thorsten Schank & Richard Upward, 2006. "Practical fixed-effects estimation methods for the three-way error-components model," Stata Journal, StataCorp LP, vol. 6(4), pages 461-481, December.
    2. Harris, Douglas N. & Sass, Tim R., 2011. "Teacher training, teacher quality and student achievement," Journal of Public Economics, Elsevier, vol. 95(7-8), pages 798-812, August.
    3. Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, November.
    4. Paulo Guimarães & Pedro Portugal & Sónia Torres, 2013. "The sources of wage variation: a three-way high-dimensional fixed effects regression model," Working Papers w201309, Banco de Portugal, Economics and Research Department.
    5. Daniel F. McCaffrey & J. R. Lockwood & Kata Mihaly & Tim R. Sass, 2012. "A review of Stata commands for fixed-effects estimation in normal linear models," Stata Journal, StataCorp LP, vol. 12(3), pages 406-432, September.
    6. Paulo Guimarães & Pedro Portugal, 2010. "A simple feasible procedure to fit models with high-dimensional fixed effects," Stata Journal, StataCorp LP, vol. 10(4), pages 628-649, December.
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    Cited by:

    1. Lamers, Martien, 2015. "Depositor discipline and bank failures in local markets during the financial crisis," Research Report 15007-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

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    More about this item

    Keywords

    Fixed-Effects Models; Two-Step Estimation; Stata;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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