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glmhdfe

with Joschka Wanner and Alexander Hudlet.

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.

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Last updated on December 8, 2021. © Julian Hinz 1987–2021.