کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417446 681519 2013 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
OLS with multiple high dimensional category variables
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
OLS with multiple high dimensional category variables
چکیده انگلیسی


• We generalize the linear within-estimator to two or more category variables.
• We describe a general procedure for projecting out dummy-encoded category variables.
• Parameters for dummy variables can optionally be estimated.

A new algorithm is proposed for OLS estimation of linear models with multiple high-dimensional category variables. It is a generalization of the within transformation to arbitrary number of category variables. The approach, unlike other fast methods for solving such problems, provides a covariance matrix for the remaining coefficients. The article also sets out a method for solving the resulting sparse system, and the new scheme is shown, by some examples, to be comparable in computational efficiency to other fast methods. The method is also useful for transforming away groups of pure control dummies. A parallelized implementation of the proposed method has been made available as an R-package lfe on CRAN.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 66, October 2013, Pages 8–18
نویسندگان
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