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Separating the Wheat from the Chaff: Fast Estimation of GLMs with High-Dimensional Fixed Effects

with Alexander Hudletz and Joschka Wanner. Work in progress.

In this note we describe how the first-order conditions of fixed effects in certain generalized linear models display a very convenient form. This can be exploited to implement a very fast GLM estimator with high-dimensional fixed effects, as we do in the R package glmhdfe.

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Last updated on August 5, 2021. © Julian Hinz 1987–2021.