Fepois: Acceleration Algorithm described in the `pplmhdfe` paper

py-econometrics / pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax

MIT License

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Open s3alfisc opened 1 month ago

s3alfisc commented 1 month ago

The ppmlhdfe paper implements an acceleration procedure for its iterated weighted least square algorithm.

The idea is to start with a low tolerance of the demeaning algorithm, which is tightened to closer the algorithm is to reach convergence.

WeonhyeokChung commented 2 weeks ago

I want to work on this! Thanks!

s3alfisc commented 2 weeks ago

Really cool @WeonhyeokChung! Thanks for taking it on =)