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) <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.
The package also includes robust and multi-way clustered standard errors.1707.01815>