getFEs {alpaca}

Efficiently recover estimates of the fixed effects after fitting feglm

Description

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.

Usage

getFEs(object = NULL, alpha.tol = 1e-08)

Arguments

object

an object of class "feglm".

alpha.tol

tolerance level for the stopping condition. The algorithm is stopped in iteration i if ||\boldsymbol{\alpha}_{i} - \boldsymbol{\alpha}_{i - 1}||_{2} < tol ||\boldsymbol{\alpha}_{i - 1}||_{2}. Default is 1.0e-08.

Value

The function getFEs returns a named list containing named vectors of estimated fixed effects.

References

Gaure, S. (n. d.). "Multicollinearity, identification, and estimable functions". Unpublished.

Stammann, A. (2018). "Fast and Feasible Estimation of Generalized Linear Models with High-Dimensional k-way Fixed Effects". ArXiv e-prints.

See Also

feglm