| alpaca-package {alpaca} | R Documentation |
alpaca: A package for fitting glm's with high-dimensional k-way fixed effects
Description
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) 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 Fernández-Val and Weidner (2016) and Hinz, Stammann, and Wanner (2020).
Note: Linear models are also beyond the scope of this package since there is already a comprehensive procedure available felm.