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 December 17, 2022. © Julian Hinz 1987–2022.