What is needed to run FastHDFE or GME packages?

The packages require that a Python executable is installed on your computer. Python is a free software.

How do I install the packages?

The packages can be installed via pip package manager. See documentation for more information.

What is the difference between the FastHDFE and GME packages?

FastHDFE is a newer package designed for fast estimation with high-dimensional fixed effects. While the GME package can estimate a Poisson Pseudo-Maximum Likelihood (PPML) model with a small number of fixed effects, FastHDFE can efficiently handle very large datasets and high number of fixed effects.