Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Fast and Feasible Estimation of Generalized Linear Models with
  High-Dimensional k-way Fixed Effects   We present a fast and memory efficient algorithm for the estimation of
generalized linear models with an additive separable k-way error component. The
brute force approach uses dummy variables to account for the unobserved
heterogeneity, but quickly faces computational limits. Thus, we show how a
weighted version of the Frisch-Waugh-Lovell theorem combined with the method of
alternating projections can be incorporated into a Newton-Raphson algorithm to
dramatically reduce the computational costs. The algorithm is especially useful
in situations, where generalized linear models with k-way fixed effects based
on dummy variables are computationally demanding or even infeasible due to time
or memory limitations. In a simulation study and an empirical application we
demonstrate the performance of our algorithm.

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The categories of this paper are: solv-int
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The categories of this paper are: funct-an
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The categories of this paper are: astro-ph
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The categories of this paper are: acc-phys
33
The categories of this paper are: plasm-ph
1
The categories of this paper are: cs
30
The categories of this paper are: q-alg
10
The categories of this paper are: q-bio
13
The categories of this paper are: quant-ph
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The categories of this paper are: patt-sol
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The categories of this paper are: bayes-an
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The categories of this paper are: ao-sci
0
The categories of this paper are: hep-ph
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The categories of this paper are: eess
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The categories of this paper are: econ
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The categories of this paper are: hep-ex