# collinearity: Collinearity diagnostics for 'fixest' objects In fixest: Fast Fixed-Effects Estimations

## Description

In some occasions, the optimization algorithm of `femlm` may fail to converge, or the variance-covariance matrix may not be available. The most common reason of why this happens is colllinearity among variables. This function helps to find out which set of variables is problematic.

## Usage

 `1` ```collinearity(x, verbose) ```

## Arguments

 `x` A `fixest` object obtained from, e.g. functions `femlm`, `feols` or `feglm`. `verbose` An integer. If higher than or equal to 1, then a note is prompted at each step of the algorithm. By default `verbose = 0` for small problems and to 1 for large problems.

## Details

This function tests: 1) collinearity with the fixed-effect variables, 2) perfect multi-collinearity between the variables, 4) perfect multi-collinearity between several variables and the fixed-effects, and 4) identification issues when there are non-linear in parameters parts.

## Value

It returns a text message with the identified diagnostics.

Laurent Berge

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30``` ```# Creating an example data base: set.seed(1) fe_1 = sample(3, 100, TRUE) fe_2 = sample(20, 100, TRUE) x = rnorm(100, fe_1)**2 y = rnorm(100, fe_2)**2 z = rnorm(100, 3)**2 dep = rpois(100, x*y*z) base = data.frame(fe_1, fe_2, x, y, z, dep) # creating collinearity problems: base\$v1 = base\$v2 = base\$v3 = base\$v4 = 0 base\$v1[base\$fe_1 == 1] = 1 base\$v2[base\$fe_1 == 2] = 1 base\$v3[base\$fe_1 == 3] = 1 base\$v4[base\$fe_2 == 1] = 1 # Estimations: # Collinearity with the fixed-effects: res_1 = femlm(dep ~ log(x) + v1 + v2 + v4 | fe_1 + fe_2, base) collinearity(res_1) # => collinearity with the first fixed-effect identified, we drop v1 and v2 res_1bis = femlm(dep ~ log(x) + v4 | fe_1 + fe_2, base) collinearity(res_1bis) # Multi-Collinearity: res_2 = femlm(dep ~ log(x) + v1 + v2 + v3 + v4, base) collinearity(res_2) ```

fixest documentation built on June 19, 2021, 5:06 p.m.