References

Papers

Abowd, Creecy, and Kramarz (2002)

Abowd, John M., Robert H. Creecy, and Francis Kramarz (2002). Computing person and firm effects using linked longitudinal employer-employee data. Longitudinal Employer-Household Dynamics Technical Papers 2002-06, Center for Economic Studies, U.S. Census Bureau.

Correia (2015)

Correia, Sergio (2015). Singletons, cluster-robust standard errors and fixed effects: A bad mix. Technical Note, Duke University.

Fong and Saunders (2011)

Fong, David Chin-Lung, and Michael Saunders (2011). LSMR: An iterative algorithm for sparse least-squares problems. SIAM Journal on Scientific Computing, 33 (5), 2950–2971.

Frisch and Waugh (1933)

Frisch, Ragnar, and Frederick V. Waugh (1933). Partial time regressions as compared with individual trends. Econometrica, 1 (4), 387-401.

Gaure (2013a)

Gaure, Simen (2013a). OLS with multiple high dimensional category variables. Computational Statistics & Data Analysis, 66 (0), 8-18.

Gaure (2013b)

Gaure, Simen (2013b). lfe: Linear group fixed effects. The R Journal, 5 (2), 104-117.

Gearhart and Koshy (1989)

Gearhart, William B., and Mathew Koshy (1989). Acceleration schemes for the method of alternating projections. Journal of Computational and Applied Mathematics, 26 (3), 235-249.

Guimarães and Portugal (2010)

Guimarães, Paulo, and Pedro Portugal (2010). A simple feasible procedure to fit models with high-dimensional fixed effects. Stata Journal, 10 (4), 628-649.

Hernández-Ramos, Escalante, and Raydan (2011)

Hernández-Ramos, Luis M., René Escalante, and Marcos Raydan (2011). Unconstrained optimization techniques for the acceleration of alternating projection methods. Numerical Functional Analysis and Optimization, 32 (10), 1041-1066.

Lovell (1963)

Lovell, Michael C. (1963). Seasonal adjustment of economic time series and multiple regression analysis. Journal of the American Statistical Association, 58 (304), 993-1010.

Somaini and Wolak (2016)

Somaini, Paulo, and Frank A. Wolak (2016). An algorithm to estimate the two-way fixed effects model. Journal of Econometric Methods, 5 (1), 143-152.

Software

FixedEffectModels.jl

FixedEffectModels.jl. Julia. Matthieu Gomez. Implements a version of Guimarães and Portugal (2010), Gaure (2013a), Gaure (2013b), and Correia (2017).

lfe

lfe. R. Simen Gaure. Implements Guimarães and Portugal (2010), Gaure (2013a), and Gaure (2013b).

reghdfe

reghdfe. Stata. Sergio Correia. Implements Correia (2017), which augments Guimarães and Portugal (2010), Gaure (2013a), and Gaure (2013b).

res2fe

res2fe. Matlab, SAS, and Stata. Paulo Somaini and Frank Wolak. Implements Somaini and Wolak (2016).