dear R experts---now I have a case where I want to estimate very large
regression models with many fixed effects---not just the mean type, but
cross-fixed effects---years, months, locations, firms.  Many millions of
observations, a few thousand variables (most of these variables are
interaction fixed effects).  could someone please point me to packages, if
any, that would help me estimate such models?  (can these problems be split
over many different cores?)

advice appreciated.

/iaw

----
Ivo Welch (ivo.welch@brown.edu, ivo.welch@gmail.com)
CV Starr Professor of Economics (Finance), Brown University
http://welch.econ.brown.edu/

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