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:
A Stata implementation is coming soon. For more details and usage examples check out the R_glmhdfe Github repository and the technical note.
Last updated on August 5, 2021. © Julian Hinz 1987–2021.