This package solves least squares problem with high dimensional fixed effects. For a matrix D
of high dimensional fixed effects, it finds b
and 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 b
, and solve_residuals!
, that returns the residuals ϵ
. See the documentation ?solve_residuals!
or ?solve_coefficients!
.
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
.