lfe

Transforms away factors with many levels prior to doing an OLS. Useful for estimating linear models with multiple group fixed effects, and for estimating linear models which uses factors with many levels as pure control variables. See Gaure (2013) doi:10.1016/j.csda.2013.03.024 Includes support for instrumental variables, conditional F statistics for weak instruments, robust and multi-way clustered standard errors, as well as limited mobility bias correction (Gaure 2014 doi:10.1002/sta4.68). Since version 3.0, it provides dedicated functions to estimate Poisson models.