l: Lags a variable in a 'fixest' estimation

In fixest: Fast Fixed-Effects Estimations

Lags a variable in a fixest estimation

Description

Produce lags or leads in the formulas of fixest estimations or when creating variables in a data.table::data.table. The data must be set as a panel beforehand (either with the function panel or with the argument panel.id in the estimation).

Usage

f(x, k = 1, fill = NA)

d(x, k = 1, fill = NA)

l(x, k = 1, fill = NA)

Arguments

x	The variable.
k	A vector of integers giving the number of lags (for l() and d()) or leads (for f()). For l() and d() negative values lead to leads. For f() negative values lead to lags. This argument can be a vector when using it in fixest estimations. When creating variables in a data.table::data.table, it must be of length one.
fill	A scalar, default is NA. How to fill the missing values due to the lag/lead? Note that in a fixest estimation, 'fill' must be numeric (not required when creating new variables).

Value

These functions can only be used i) in a formula of a fixest estimation, or ii) when creating variables within a fixest_panel object (obtained with function panel) which is alaos a data.table::data.table.

Functions

• f(): Forwards a variable (inverse of lagging) in a fixest estimation

• d(): Creates differences (i.e. x - lag(x)) in a fixest estimation

See Also

The function panel changes data.frames into a panel from which the functions l and f can be called. Otherwise you can set the panel 'live' during the estimation using the argument panel.id (see for example in the function feols).

Examples

data(base_did)

# Setting a data set as a panel...
pdat = panel(base_did, ~ id + period)

# ...then using the functions l and f
est1 = feols(y ~ l(x1, 0:1), pdat)
est2 = feols(f(y) ~ l(x1, -1:1), pdat)
est3 = feols(l(y) ~ l(x1, 0:3), pdat)
etable(est1, est2, est3, order = c("f", "^x"), drop = "Int")

# or using the argument panel.id
feols(f(y) ~ l(x1, -1:1), base_did, panel.id = ~id + period)
feols(d(y) ~ d(x1), base_did, panel.id = ~id + period)

# l() and f() can also be used within a data.table:
if(require("data.table")){
  pdat_dt = panel(as.data.table(base_did), ~id+period)
  # Now since pdat_dt is also a data.table
  #   you can create lags/leads directly
  pdat_dt[, x1_l1 := l(x1)]
  pdat_dt[, x1_d1 := d(x1)]
  pdat_dt[, c("x1_l1_fill0", "y_f2") := .(l(x1, fill = 0), f(y, 2))]
}

fixest documentation built on June 22, 2024, 9:12 a.m.