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OLS with Multiple High Dimensional Category Dummies
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Authors:
Gaure, Simen
Year:
2010
Reference:
Memorandum
Number in series: 14
Summary
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.
JEL:
C13, C33, C60
Keywords:
Method of Alternating Projections, Multiple Fixed Effects, OLS
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