How can I calculate different vcov matrices after FixedEffectModels.jl?

[felixholub]

trafficstars

I have asked this on the discourse already: https://discourse.julialang.org/t/how-can-i-calculate-different-vcov-matrices-after-fixedeffectmodels-jl/23200 Is there a simple way to calculate different sets of standard errors after estimating a model? I currently reestimate the complete model, which takes very long. Thanks for the help!

[matthieugomez]

If you have access to a GPU, you could try the new experimental feature for GPU. This makes the package an order of magnitude faster. It is an experimental feature, and it's hard for me to test it on my computer, so I'd appreciate any feedback.

] add FixedEffects#master 
] add FixedEffectModels#master 
using CuArrays, FixedEffectModels
reg(df, @model(Sales ~ NDI, fe = StateCategorical + YearCategorical), method = :lsmr_gpu)