glmhdfe

The R package glmhdfe implements a fast estimation procedure of generalized linear models with high dimensional fixed effects. The package makes use of a convenient property of some combinations of error term distributions and link functions, where the fixed effects have — conditional on all other estimated parameters — an explicit solution.

Install from Github via the remotes package:

install.packages("remotes")
remotes::install_github("julianhinz/R_glmhdfe")

A Stata implementation is coming soon. For more details and usage examples check out the R_glmhdfe Github repository and the technical note.