Package: alpaca 0.3.4

alpaca: Fit GLM's with High-Dimensional k-Way Fixed Effects

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) <arxiv:1707.01815> 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 Fernandez-Val and Weidner (2016) <doi:10.1016/j.jeconom.2015.12.014> and Hinz, Stammann, and Wanner (2020) <arxiv:2004.12655>.

Authors:Amrei Stammann [aut, cre], Daniel Czarnowske [aut]

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Bug tracker:https://github.com/amrei-stammann/alpaca/issues

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8 exports 43 stars 2.90 score 5 dependencies 104 scripts 1.3k downloads

Last updated 2 years agofrom:c9ce131d94. Checks:OK: 1 WARNING: 8. Indexed: yes.

Exports:biasCorrfeglmfeglm.controlfeglm.nbfeglmControlgetAPEsgetFEssimGLM

Dependencies:data.tableFormulaMASSRcppRcppArmadillo