R Under development (unstable) (2024-01-12 r85803 ucrt) -- "Unsuffered Consequences"
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> library(lfe)
Loading required package: Matrix
> options(lfe.threads=1,digits=4,warn=1)
> set.seed(42)
> x <- rnorm(500)
> x2 <- rnorm(length(x))
> 
> ## create individual and firm
> id <- factor(sample(40,length(x),replace=TRUE))
> firm <- factor(sample(30,length(x),replace=TRUE,prob=c(2,rep(1,29))))
> foo <- factor(sample(20,length(x),replace=TRUE))
> ## effects
> id.eff <- rnorm(nlevels(id))
> firm.eff <- rnorm(nlevels(firm))
> foo.eff <- rnorm(nlevels(foo))
> ## left hand side
> y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + foo.eff[foo] + rnorm(length(x))
> 
> # make a data frame
> fr <- data.frame(y,x,x2,id,firm,foo)
> ## estimate and print result
> est <- felm(y ~ x+x2|id+firm+foo, data=fr, keepX=TRUE)
> 
> alpha=getfe(est)
> bccorr(est,alpha,corrfactors=c(3,1))
     corr        v1        v2       cov        d1        d2       d12 
-0.049334  0.999331  0.695755 -0.041137  0.048487  0.088972 -0.005234 
> fevcov(est,alpha)
           id     firm      foo
id    0.69244 -0.02273 -0.04353
firm -0.02273  0.59472  0.02932
foo  -0.04353  0.02932  1.01086
attr(,"bias")
            id      firm       foo
id    0.092285 -0.002635 -0.002846
firm -0.002635  0.057675 -0.002682
foo  -0.002846 -0.002682  0.036962
> varvars(est,alpha)
[1] 0.007358 0.005979 0.009864
> 
> 
> proc.time()
   user  system elapsed 
   1.82    0.14    1.98