glmhdfe: glmhdfe

In julianhinz/R_glmhdfe: Estimate Generalized Linear Models with High-Dimensional Fixed Effects

Description

Generalized linear model with high-dimensional fixed effects

This function allows for arbitrary sets of fixed effects in a generalized linear model.

Usage

glmhdfe(formula, data, family = gaussian(), beta = NULL,
  tolerance = 1e-08, max_iterations = 10000, fe_iterations = 5,
  accelerate = T, accelerate_iterations = 10,
  accelerate_aux_vector = T, compute_vcov = T, demean_variables = F,
  demean_iterations = 100, demean_tolerance = tolerance,
  include_fe = T, include_data = F, include_data_vcov = F,
  skip_checks = NULL, trace = F, verbose = F)

Arguments

formula	Formula that describes lefthandside variable, righthandside variables of interest, sets of fixed effects and error clustering, e.g. y ~ x | fe1 + fe2 | cluster1 + cluster2
data	data.table or data.frame with data used in the regression
family	Estimator used, currently limited to gaussian(link = "identity"), gaussian(link = "log"), poisson(link = "log"), Gamma(link = "log") and inverse.gaussian(link = "log")
beta	Initial beta vector, defaults to 0
tolerance	Iteration stops when tolerance is reached (numeric)
max_iterations	Iteration stops when maximum number of iteration is reached (integer)
fe_iterations	Iterations for fixed effects to "catch up" when initial beta vector is provided
accelerate	Acceleration algorithm for finding betas
accelerate_iterations	Number of iterations before starting acceleration algorithm
accelerate_aux_vector	Include fixed effects vectors in IRLS? Usually increases convergence speed
compute_vcov	Compute variance-covariance matrix? Can be computed ex-post when data from estimation provided.
demean_variables	Demean variables to be used in estimation of variance-covariance matrix?
demean_iterations	Iterations for demeaning algorithm
demean_tolerance	Demeaning tolerance
include_fe	Return fixed effects?
include_data	Return data used in estimation?
include_data_vcov	Return data used in variance-covariance matrix estimation?
skip_checks	Skip checks before starting procedure? Character vector can include "separation", "complete_cases", "multicollinearity".
trace	Show some information during estimation
verbose	Show more information during estimation for the impatient

Author(s)

Julian Hinz and Joschka Wanner

julianhinz/R_glmhdfe documentation built on Feb. 11, 2022, 7:37 a.m.