To cite package ‘fixest’ in publications use:

  Berge L (2018). "Efficient estimation of maximum likelihood models
  with multiple fixed-effects: the R package FENmlm." CREA Discussion
  Papers.

A BibTeX entry for LaTeX users is

  @Article{,
    title = {Efficient estimation of maximum likelihood models with multiple fixed-effects: the {R} package {FENmlm}},
    author = {Laurent Berg\'e},
    year = {2018},
    journal = {CREA Discussion Papers},
    number = {13},
  }