fastconley - Fast Conley Standard Errors for 'lfe' and 'fixest' Models

Conley (1999) <doi:10.1016/S0304-4076(98)00084-0> spatial heteroscedasticity and autocorrelation consistent (HAC) standard errors for fixed effects panel and cross-sectional models estimated with felm() from the 'lfe' package (ordinary least squares and instrumental variables) or with feols(), feglm(), and fepois() from the 'fixest' package. Instrumental-variable support is limited to ordinary two-stage least squares. Generalized linear model fits use the M-estimation sandwich built from the stored scores and inverse Hessian. The spatial path uses score accumulation, a three-dimensional cell-grid neighbour search, and compressed sparse row neighbour lists instead of dense distance matrices, yielding large speedups over the original 'conley' package <https://github.com/rbluhm/conley> on big cross-sections and high-dimensional regressions.