alpaca

R package alpaca: Fit GLM’s with High-Dimensional k-Way Fixed Effects. Provides a routine to concentrate out factors with many levels during the optimization of the log-likelihood function of the corresponding generalized linear model (glm). The package is based on the algorithm proposed by Stammann (2018) <arXiv:1707.01815> and is restricted to glm’s that are based on maximum likelihood estimation and non-linear. It also offers an efficient algorithm to recover estimates of the fixed effects in a post-estimation routine. The package also includes robust and multi-way clustered standard errors.

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References in zbMATH (referenced in 1 article , 1 standard article )

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  1. Amrei Stammann, Daniel Czarnowske: Binary Choice Models with High-Dimensional Individual and Time Fixed Effects (2019) arXiv