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")
For more details and usage examples check out the R_glmhdfe GitHub repository and the technical note.
@misc{glmhdfe_2019,
title = {glmhdfe},
author = {Julian Hinz and Joschka Wanner and Alexander Hudlet},
year = {2019},
note = {R package},
url = {https://github.com/julianhinz/R_glmhdfe}
}