R Under development (unstable) (2024-02-19 r85946 ucrt) -- "Unsuffered Consequences"
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> library(lfe)
Loading required package: Matrix
> set.seed(127)
> options(lfe.threads=1,warn=1,digits=5)
> x <- rnorm(2000,mean=2000)
> x2 <- rnorm(length(x))
> x3 <- 1.2*x + 0.9*x2 
> x4 <- 0.8*x2 + 0.3*x3
> ## create individual and firm
> id <- factor(sample(12,length(x),replace=TRUE))
> firm <- factor(sample(7,length(x),replace=TRUE))
> 
> # these are constant on the levels
> x5 <- rnorm(nlevels(id))[id]
> x6 <- rnorm(nlevels(firm))[firm]
> ## effects
> id.eff <- rnorm(nlevels(id))
> firm.eff <- rnorm(nlevels(firm))
> 
> ## left hand side
> y <- x + 0.25*x2 + 0.5*x3 + 0.17*x4 + 0.8*x5 -0.3*x6 + id.eff[id] + firm.eff[firm] + rnorm(length(x))
> 
> ## estimate
> est <- felm(y ~ x+x2 + x3 + x4 + x5 + x6 | id + firm)
Warning in chol.default(mat, pivot = TRUE, tol = tol) :
  the matrix is either rank-deficient or not positive definite
> ## extract the group fixed effects
> alpha <- getfe(est)
> summary(est)  
Warning in chol.default(mat, pivot = TRUE, tol = tol) :
  the matrix is either rank-deficient or not positive definite

Call:
   felm(formula = y ~ x + x2 + x3 + x4 + x5 + x6 | id + firm) 

Residuals:
   Min     1Q Median     3Q    Max 
-3.219 -0.676  0.005  0.660  3.028 

Coefficients:
   Estimate Std. Error t value Pr(>|t|)    
x       NaN         NA     NaN      NaN    
x2  -0.4175     0.0281   -14.8   <2e-16 ***
x3   1.4086     0.0188    75.1   <2e-16 ***
x4      NaN         NA     NaN      NaN    
x5      NaN         NA     NaN      NaN    
x6      NaN         NA     NaN      NaN    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.987 on 1980 degrees of freedom
Multiple R-squared(full model): 0.873   Adjusted R-squared: 0.872 
Multiple R-squared(proj model): 0.786   Adjusted R-squared: 0.784 
F-statistic(full model): 717 on 19 and 1980 DF, p-value: <2e-16 
F-statistic(proj model): 1.21e+03 on 6 and 1980 DF, p-value: <2e-16 


> #alpha
> #summary(lm(y ~ x + x2 + x3 + x4 + x5 + x6 + id + firm)) # remove from cran
> # merge back
> ideff <- alpha[paste('id',id,sep='.'),'effect']
> firmeff <- alpha[paste('firm',firm,sep='.'),'effect']
> 
> ## verify that id and firm coefficients are 1
> co <- coef(lm(y ~ x + x2 + x3 + x4 + x5 + x6 + ideff + firmeff-1))[7:8]
> cat('accuracy:', formatC(co, digits=8, format="f"),'\n')
accuracy: 1.00000000 1.00000000 
> 
> 
> 
> proc.time()
   user  system elapsed 
   0.89    0.12    0.98