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Py-pyhdfe
Jul 20, 2023
High dimensional fixed effect absorption
PyHDFE is a Python 3 implementation of algorithms for absorbing high dimensional fixed effects. This package was created by Jeff Gortmaker in collaboration with Anya Tarascina.
What PyHDFE won’t do is provide a convenient interface for running regressions. Instead, the package is meant to be incorporated into statistical projects that would benefit from performant fixed effect absorption. Another goal is facilitating fair comparison of algorithms that have been previously implemented in various languages with different convergence criteria.
Development of the package has been guided by code made publicly available by many researchers and practitioners. For a full list of papers and software cited in this documentation, refer to the references section of the documentation.
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