R Under development (unstable) (2024-02-22 r85974 ucrt) -- "Unsuffered Consequences"
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> library(lfe)
Loading required package: Matrix
> options(lfe.threads=2,digits=3,warn=1)
> set.seed(655318)
> x <- rnorm(500)
> x2 <- rnorm(length(x))
> 
> ## create individual and firm
> id <- factor(sample(400,length(x),replace=TRUE))
> firm <- factor(sample(300,length(x),replace=TRUE,prob=c(2,rep(1,299))))
> 
> ## effects
> id.eff <- rnorm(nlevels(id))
> firm.eff <- rnorm(nlevels(firm))
> 
> ## left hand side
> y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + rnorm(length(x))
> 
> # make a data frame
> fr <- data.frame(y,x,x2,id,firm)
> ## estimate and print result
> print(est <- felm(y ~ x+x2|id+firm, data=fr))
    x    x2 
0.677 0.444 
> 
> ## extract the group fixed effects
> tail(getfe(est))
         effect obs comp   fe idx
firm.294 -2.057   1    6 firm 294
firm.295 -1.347   4    1 firm 295
firm.296 -0.227   1   51 firm 296
firm.297 -2.447   2    4 firm 297
firm.298  1.220   1   23 firm 298
firm.300 -4.167   3    1 firm 300
> 
> head(round(model.matrix(est),7))
      x    x2
1 0.000 0.000
2 0.000 0.000
3 0.693 0.437
4 0.000 0.000
5 0.000 0.000
6 0.000 0.000
> head(model.matrix(est,centred=FALSE))
       x      x2
1 -1.251  1.0210
2  0.795 -1.1390
3  1.546  0.6954
4 -1.099  1.1567
5 -0.359 -0.5846
6  0.368 -0.0823
> head(round(model.matrix(felm(y ~ x+x2|id+firm, data=fr,keepCX=TRUE)),7))
         x    x2
[1,] 0.000 0.000
[2,] 0.000 0.000
[3,] 0.693 0.437
[4,] 0.000 0.000
[5,] 0.000 0.000
[6,] 0.000 0.000
> head(model.matrix(felm(y ~ x+x2|id+firm, data=fr,keepX=TRUE), centred=FALSE))
          x      x2
[1,] -1.251  1.0210
[2,]  0.795 -1.1390
[3,]  1.546  0.6954
[4,] -1.099  1.1567
[5,] -0.359 -0.5846
[6,]  0.368 -0.0823
> 
> proc.time()
   user  system elapsed 
   0.93    0.15    1.04