getFEs

Recover estimates of the fixed effects by alternating between the normal equations of the fixed 
effects as shown by Stammann (2018).
Remark: The system might not have a unique solution since we do not take collinearity
into account. If the solution is not unique, an estimable function has to be applied to our
solution to get meaningful estimates of the fixed effects. See Gaure (n. d.) for an extensive
treatment of this issue.

Provides a routine to partial 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 described in Stammann (2018) <arXiv:1707.01815> and is restricted to glm's that are based on maximum likelihood estimation and nonlinear. It also offers an efficient algorithm to recover estimates of the fixed effects in a post-estimation routine and includes robust and multi-way clustered standard errors. Further the package provides analytical bias corrections for binary choice models derived by Fernandez-Val and Weidner (2016) <doi:10.1016/j.jeconom.2015.12.014> and Hinz, Stammann, and Wanner (2020) <arXiv:2004.12655>.

Amrei Stammann

alpaca

Fit GLM's with High-Dimensional k-Way Fixed Effects

Daniel Czarnowske

getFEs function

<dl><dt>object</dt>
<dd>an object of class <code>"feglm"</code>.</dd>
<dt>alpha.tol</dt>
<dd>tolerance level for the stopping condition. The algorithm is stopped in iteration
\(i\) if \(||\boldsymbol{\alpha}_{i} - \boldsymbol{\alpha}_{i - 1}||_{2} &lt; 
tol ||\boldsymbol{\alpha}_{i - 1}||_{2}\).
Default is <code>1.0e-08</code>.</dd></dl>

Arguments

Efficiently recover estimates of the fixed effects after fitting feglm — getFEs

<dl>

<dt>object</dt>
<dd>an object of class <code>"feglm"</code>.</dd>


<dt>alpha.tol</dt>
<dd>tolerance level for the stopping condition. The algorithm is stopped in iteration
\(i\) if \(||\boldsymbol{\alpha}_{i} - \boldsymbol{\alpha}_{i - 1}||_{2} &lt; 
tol ||\boldsymbol{\alpha}_{i - 1}||_{2}\).
Default is <code>1.0e-08</code>.</dd>

</dl>

getFEs: Efficiently recover estimates of the fixed effects after fitting `feglm`

Description

Usage

Value

Arguments

References

See Also