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, lead = 1, fill = NA)

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

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

Arguments

x	The variable.
lead	A vector of integers giving the number of leads. 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).
lag	A vector of integers giving the number of lags. Negative values lead to leads. 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.

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 Nov. 24, 2023, 5:11 p.m.