py-econometrics / pyfixest

Fast High-Dimensional Fixed Effects Regression in Python following fixest-syntax
https://py-econometrics.github.io/pyfixest/pyfixest.html
MIT License
118 stars 27 forks source link

fixef: Implement Kacmarz method #469

Open s3alfisc opened 1 month ago

s3alfisc commented 1 month ago

Context

Currently, pyfixest can compute fixed effect estimates in the fixef() method by using a sparse solver.

A potentially faster alternative is to implement a Kacmarz solver. See section 3 in the lfe paper.

To Do: