This package solves least squares problem with high dimensional fixed effects. For a matrix
D of high dimensional fixed effects, it finds
ϵ such that
y = D'b + ϵ with
E[Dϵ] = 0.
It is the back end for the package FixedEffectModels.jl, that estimates linear models with high-dimensional fixed effect.
The package defines two functions
solve_coefficients!, that returns the coefficients
solve_residuals!, that returns the residuals
ϵ. See the documentation
using FixedEffects # define fixed effects: p1 = FixedEffect(repeat(1:5, inner = 2)) # combine fixed effects p2 = FixedEffect(repeat(1:2, outer = 5), repeat(1:2, inner = 5)) # define interacted fixed effects p3 = FixedEffect(repeat(1:5, outer = 2), interaction = rand(10)) # find residuals x = rand(10) solve_residuals!(x, [p1, p2]) # find the fixed effect coefficients solve_coefficients!(x, [p1, p3])
The package is registered in the
General registry and so can be installed at the REPL with
] add FixedEffects.