fixest

Fast Fixed-Effects Estimations

Last update: 24 November 2023

Software version identifier: 0.11.1, 0.1.0, 0.1.1, 0.1.2, 0.2.0, 0.2.1, 0.3.0, 0.3.1, 0.4.0, 0.4.1, 0.5.0, 0.5.1, 0.6.0, 0.7.0, 0.7.1, 0.8.0, 0.8.1, 0.8.2, 0.8.3, 0.8.4, 0.9.0, 0.10.0, 0.10.1, 0.10.2, 0.10.3, 0.10.4, 0.11.0, 0.11.2

Source code repository: https://github.com/cran/fixest

Copyright license: GNU General Public License, version 3.0

Description

Fast and user-friendly estimation of econometric models with multiple fixed-effects. Includes ordinary least squares (OLS), generalized linear models (GLM) and the negative binomial. The core of the package is based on optimized parallel C++ code, scaling especially well for large data sets. The method to obtain the fixed-effects coefficients is based on Berge (2018) <https://github.com/lrberge/fixest/blob/master/_DOCS/FENmlm_paper.pdf>. Further provides tools to export and view the results of several estimations with intuitive design to cluster the standard-errors.