R package lfe: Linear Group Fixed Effects. Transforms away factors with many levels prior to doing an OLS. Useful for estimating linear models with multiple group fixed effects, and for estimating linear models which uses factors with many levels as pure control variables. Includes support for instrumental variables, conditional F statistics for weak instruments, robust and multi-way clustered standard errors, as well as limited mobility bias correction.
Keywords for this software
References in zbMATH (referenced in 4 articles )
Showing results 1 to 4 of 4.
- Achim Zeileis, Susanne Köll, Nathaniel Graham: Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R (2020) not zbMATH
- Hyunseung Kang, Yang Jiang, Qingyuan Zhao, Dylan S. Small: ivmodel: An R Package for Inference and Sensitivity Analysis of Instrumental Variables Models with One Endogenous Variable (2020) arXiv
- Amrei Stammann, Daniel Czarnowske: Binary Choice Models with High-Dimensional Individual and Time Fixed Effects (2019) arXiv
- Gaure, Simen: OLS with multiple high dimensional category variables (2013)