Your query is far too vague to answer -- probably 90% of R packages qualify.
As you are an economist, obvious question: Have you looked at the CRAN
econometrics task view?
-- Bert
On Tue, May 8, 2012 at 8:30 PM, ivo welch wrote:
> dear R experts---now I have a case where I want to estimate very
Hi Ivo,
You might check out biglm. It is not clear to me how to parallelize a single
model, but if you are running several, of course you can (but you already know
that). The one thing that may help is to link R against an optimized,
multithreaded BLAS such as Atlas (I think you have to do th
dear R experts---now I have a case where I want to estimate very large
regression models with many fixed effects---not just the mean type, but
cross-fixed effects---years, months, locations, firms. Many millions of
observations, a few thousand variables (most of these variables are
interaction fix
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