The package fixest provides a family of functions to perform estimations with multiple fixed-effects. Standard-errors can be easily and intuitively clustered. It also includes tools to seamlessly export the results of various estimations.
This package efficiently estimates models with multiple fixed-effect (i.e. multiple large factor variables).
The core functions are: feols, feglm and femlm to estimate, respectively, linear models, generalized linear models and maximum likelihood models with multiple fixed-effects. The function feNmlm allows the inclusion of non-linear in parameters right hand sides. Finally fepois and fenegbin are shorthands to estimate Poisson and Negative Binomial models.
Note that the functions feglm and femlm provide the same results when using the same families but differ in that the latter is a direct maximum likelihood optimization (so the two can really have different convergence rates).
Several features are also included such as the possibility to easily compute different types of standard-errors (including multi-way clustering).
It is possible to compare the results of several estimations by using the function etable, which also allows to export them to Latex.
You can plot the coefficients and confidence intervals of estimations easily with the function coefplot. This function also offers a specific layout for interactions.
Berg\'e, Laurent, 2018, "Efficient estimation of maximum likelihood models with multiple fixed-effects: the R package FENmlm." CREA Discussion Papers, 13 (https://wwwen.uni.lu/content/download/110162/1299525/file/2018_13).
Useful links:
Report bugs at https://github.com/lrberge/fixest/issues