Separating the Wheat from the Chaff: Fast Estimation of GLMs with High-Dimensional Fixed Effects
Julian Hinz, 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.download latest draft