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econ.EM2026
High-Dimensional Panel Data Models with Interactive Fixed Effects: Beyond the Linear Case
Maximilian Ruecker, Michael Vogt, Oliver Linton
Modern economic panel data sets are often high-dimensional: they contain information on a wide variety of control variables whose number may even exceed the sample size. Neverthele…
econ.EM2025
Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects
Maximilian Ruecker, Michael Vogt, Oliver Linton +1
We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a non-trivial…