This package contains functionality useful for econometric work with panel data. Its name, originally standing for "high-dimensional fixed effects," is now misleading.
Useful features are
- Groupby: A class allowing for fast operations similar to Pandas groupby-apply and groupby-transform functionality, but performing significantly faster with user-written functions. See documentation here.
- find_collinear_cols and remove_collinear_cols: Functions for dealing with multicollinearity which operate quickly on CSC matrices.
- make_lags: Makes within-group lags (frequently useful with panel data)
You can install hdfe through pip: "pip install hdfe"