Efficiently recover estimates of the fixed effects after fitting feglm
Recover estimates of the fixed effects by alternating between the normal equations of the fixed effects as shown by Stammann (2018).
Remark: The system might not have a unique solution since we do not take collinearity into account. If the solution is not unique, an estimable function has to be applied to our solution to get meaningful estimates of the fixed effects. See Gaure (n. d.) for an extensive treatment of this issue.
getFEs(object = NULL, alpha.tol = 1e-08)
object |
an object of class |
alpha.tol |
tolerance level for the stopping condition. The algorithm is stopped in iteration
i if ||Δ α|| < tol ||α_old||.
Default is |
The function getFEs returns a named list containing named vectors of estimated
fixed effects.
Gaure, S. (n. d.). "Multicollinearity, identification, and estimable functions". Unpublished.
Stammann, A. (2018). "Fast and Feasible Estimation of Generalized Linear Models with High-Dimensional k-way Fixed Effects". ArXiv e-prints.
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