fixest: A fast and feature-rich framework for econometric estimations in R

TL;DR

fixest is an R package that offers fast, flexible, and feature-rich econometric estimation, excelling in fixed-effects models with a novel C++ acceleration algorithm.

Contribution

It introduces a unified framework with a novel fixed-point acceleration algorithm for rapid convergence in complex econometric models.

Findings

Achieves rapid convergence across diverse data contexts.

Offers best-in-class performance in benchmarks.

Supports a wide range of econometric models.

Abstract

fixest is an R package for fast and flexible econometric estimation. It provides a unified framework for applied research, with comprehensive support for a diverse class of models: ordinary least squares, instrumental variables, generalized linear models, maximum likelihood, and difference-in-differences. The package particularly excels at fixed-effects estimation, supported by a novel fixed-point acceleration algorithm implemented in C++. This algorithm achieves rapid convergence across a variety of data contexts and enables efficient estimation of complex models, including those with varying slopes. An expressive formula interface facilitates multiple estimations, stepwise regressions, and variable interpolation in a single call. Users can adjust inference strategies on the fly, choosing from an array of built-in robust standard errors. The package also provides methods for publication-ready regression tables and coefficient plots. Benchmarks demonstrate that fixest offers best-in-class performance against leading alternatives in R, PYTHON, and JULIA.