fixest is an R package that delivers fast fixed-effects and other econometric estimations through a novel fixed-point acceleration algorithm in C++.
Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in
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Tail postcoloring combines nonparametric long-run variance estimation with parametric tail projection via a scaling factor and bandwidth, achieving parametric convergence when the model is correct and greater finite-sample robustness than prewhitening.
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fixest: A fast and feature-rich framework for econometric estimations in R
fixest is an R package that delivers fast fixed-effects and other econometric estimations through a novel fixed-point acceleration algorithm in C++.
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Tail postcoloring in long-run variance estimation of time series
Tail postcoloring combines nonparametric long-run variance estimation with parametric tail projection via a scaling factor and bandwidth, achieving parametric convergence when the model is correct and greater finite-sample robustness than prewhitening.