This package solves least squares problem with high dimensional fixed effects. For a matrix D of high dimensional fixed effects, it finds b and ϵ such that y = D'b + ϵ with E[Dϵ] = 0.

It is the back end for the package FixedEffectModels.jl, that estimates more general linears model with high-dimensional fixed effect.

The package defines two functions solve_coefficients, that returns the coefficients b, and solve_residuals, that returns the residuals ϵ. See ?solve_residuals! or ?solve_coefficients! for the full syntax.

using FixedEffects
# define fixed effects:
p1 = FixedEffect(repeat(1:5, inner = 2))
# combine fixed effects
p2 = FixedEffect(repeat(1:2, outer = 5), repeat(1:2, inner = 5))
# define interacted fixed effects
p3 = FixedEffect(repeat(1:5, outer = 2), interaction = rand(10))

# partial out a vector
x = rand(10)
solve_residuals!(x, [p1, p2])

# partial out a matrix
X = rand(10, 5)
solve_residuals!(X, [p1, p2])

# find the fixed effect coefficients
solve_coefficients!(x, [p1, p3])