alpaca

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

Provides a routine to concentrate 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 proposed by Stammann (2018) <arXiv:1707.01815> and is restricted to glm's that are based on maximum likelihood estimation and non-linear. 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 an analytical bias-correction for binary choice models (logit and probit) derived by Fernandez-Val and Weidner (2016) <doi:10.1016/j.jeconom.2015.12.014>.

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Description file content

Package
alpaca
Type
Package
Title
Fit GLM's with High-Dimensional k-Way Fixed Effects
Version
0.3
Description
Provides a routine to concentrate 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 proposed by Stammann (2018) and is restricted to glm's that are based on maximum likelihood estimation and non-linear. 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 an analytical bias-correction for binary choice models (logit and probit) derived by Fernandez-Val and Weidner (2016) .
License
GPL-3
Depends
R (>= 3.1.0)
Imports
data.table, Formula, MASS, Rcpp, stats, utils
LinkingTo
Rcpp, RcppArmadillo
URL
BugReports
https://github.com/amrei-stammann/alpaca/issues
RoxygenNote
6.1.1
Suggests
bife, car, knitr, lfe
VignetteBuilder
knitr
NeedsCompilation
yes
Packaged
2019-05-14 16:24:02 UTC; daniel
Author
Amrei Stammann [aut, cre], Daniel Czarnowske [aut] ()
Maintainer
Amrei Stammann
Repository
CRAN
Date/Publication
2019-05-14 22:10:03 UTC

install.packages('alpaca')

0.3

8 days ago

https://github.com/amrei-stammann/alpaca

Amrei Stammann

GPL-3

Depends on

R (>= 3.1.0)

Imports

data.table, Formula, MASS, Rcpp, stats, utils

Suggests

bife, car, knitr, lfe

Discussions