feisr: Estimating Fixed Effects Individual Slope Models

Provides the function feis() to estimate fixed effects individual slope (FEIS) models. The FEIS model constitutes a more general version of the often-used fixed effects (FE) panel model, as implemented in the package 'plm' by Croissant and Millo (2008) <doi:10.18637/jss.v027.i02>. In FEIS models, data are not only person "demeaned" like in conventional FE models, but "detrended" by the predicted individual slope of each person or group. Estimation is performed by applying least squares lm() to the transformed data. For more details on FEIS models see Bruederl and Ludwig (2015, ISBN:1446252442); Frees (2001) <doi:10.2307/3316008>; Polachek and Kim (1994) <doi:10.1016/0304-4076(94)90075-2>; Wooldridge (2010, ISBN:0262294354). To test consistency of conventional FE and random effects estimators against heterogeneous slopes, the package also provides the functions feistest() for an artificial regression test and bsfeistest() for a bootstrapped version of the Hausman test.

Getting started

Package details

AuthorTobias Ruettenauer [aut, cre], Volker Ludwig [aut]
MaintainerTobias Ruettenauer <[email protected]>
LicenseGPL (>= 2)
Version1.0.1
URL https://github.com/ruettenauer/feisr
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("feisr")

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feisr documentation built on May 2, 2019, 1:10 p.m.