Almost all of the common linear algebra routines have moved to the standard library package LinearAlgebra so you need to add to your code using LinearAlgebra, likely an import will be added to GLM in the future to not make you do this yourself.
It’s a bit tough at the moment if you are used to glm in the R world. From my testing, Julia’s GLM.jl isn’t very developed compared to the glm and broom combination in R