inst/doc/identification.R

In lfe: Linear Group Fixed Effects

## ----eval=FALSE---------------------------------------------------------------
#  lm(y ~ x1 + x2 + ... + xm + f1 + f2 + ... + fn)

## ----eval=FALSE---------------------------------------------------------------
#  felm(y ~ x1 + x2 + ... + xm | f1 + f2 + ... + fn)

## ----echo=FALSE---------------------------------------------------------------
cores <- as.integer(Sys.getenv("SG_RUN"))
if (is.na(cores)) options(lfe.threads = 1)

## -----------------------------------------------------------------------------
library(lfe)
set.seed(42)
x1 <- rnorm(20)
f1 <- sample(8, length(x1), replace = TRUE) / 10
f2 <- sample(8, length(x1), replace = TRUE) / 10
e1 <- sin(f1) + 0.02 * f2^2 + rnorm(length(x1))
y <- 2.5 * x1 + (e1 - mean(e1))
summary(est <- felm(y ~ x1 | f1 + f2))

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ef <- efactory(est)
is.estimable(ef, est$fe)
getfe(est)

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data.frame(f1, f2, comp = est$cfactor)

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f1 <- factor(f1)
f2 <- factor(f2)
summary(lm(y ~ x1 + f1 + f2))

## ----eval=FALSE---------------------------------------------------------------
#  est <- felm(logwage ~ x1 + x2 | id + firm + edu)
#  getfe(est)

## ----eval=FALSE---------------------------------------------------------------
#  logwage ~ x1 + x2 + edu | id + firm

## ----eval=FALSE---------------------------------------------------------------
#  logwage ~ x1 + x2 | firm + edu + id

## ----eval=FALSE---------------------------------------------------------------
#  y ~ x1 + x2 + f1 + f2 + f3

## ----eval=FALSE---------------------------------------------------------------
#  est <- felm(y ~ x1 + x2 | f1 + f2 + f3)

## -----------------------------------------------------------------------------
library(lfe)
x1 <- rnorm(100)
f1 <- sample(7, 100, replace = TRUE)
f2 <- sample(8, 100, replace = TRUE) / 8
f3 <- sample(10, 100, replace = TRUE) / 10
e1 <- sin(f1) + 0.02 * f2^2 + 0.17 * f3^3 + rnorm(100)
y <- 2.5 * x1 + (e1 - mean(e1))
summary(est <- felm(y ~ x1 | f1 + f2 + f3))

## -----------------------------------------------------------------------------
ef <- function(gamma, addnames) {
  ref2 <- gamma[[8]]
  ref3 <- gamma[[16]]
  gamma[1:7] <- gamma[1:7] + ref2 + ref3
  gamma[8:15] <- gamma[8:15] - ref2
  gamma[16:25] <- gamma[16:25] - ref3
  if (addnames) {
    names(gamma) <- c(
      paste("f1", 1:7, sep = "."),
      paste("f2", 1:8, sep = "."),
      paste("f3", 1:10, sep = ".")
    )
  }
  gamma
}
is.estimable(ef, fe = est$fe)
getfe(est, ef = ef)

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getfe(est)

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efactory(est)

## -----------------------------------------------------------------------------
f1 <- factor(f1)
f2 <- factor(f2)
f3 <- factor(f3)
ef <- function(gamma, addnames) {
  ref1 <- gamma[[1]]
  ref2 <- gamma[[8]]
  ref3 <- gamma[[16]]
  # put the intercept in the first coordinate
  gamma[[1]] <- ref1 + ref2 + ref3
  gamma[2:7] <- gamma[2:7] - ref1
  gamma[8:14] <- gamma[9:15] - ref2
  gamma[15:23] <- gamma[17:25] - ref3
  length(gamma) <- 23
  if (addnames) {
    names(gamma) <- c(
      "(Intercept)", paste("f1", levels(f1)[2:7], sep = ""),
      paste("f2", levels(f2)[2:8], sep = ""),
      paste("f3", levels(f3)[2:10], sep = "")
    )
  }
  gamma
}
getfe(est, ef = ef, bN = 1000, se = TRUE)
# compare with lm
summary(lm(y ~ x1 + f1 + f2 + f3))

## -----------------------------------------------------------------------------
set.seed(55)
x1 <- rnorm(25)
f1 <- sample(9, length(x1), replace = TRUE)
f2 <- sample(8, length(x1), replace = TRUE)
f3 <- sample(8, length(x1), replace = TRUE)
e1 <- sin(f1) + 0.02 * f2^2 + 0.17 * f3^3 + rnorm(length(x1))
y <- 2.5 * x1 + (e1 - mean(e1))
summary(est <- felm(y ~ x1 | f1 + f2 + f3))

## -----------------------------------------------------------------------------
ef <- efactory(est)
is.estimable(ef, est$fe)

## -----------------------------------------------------------------------------
f1 <- factor(f1)
f2 <- factor(f2)
f3 <- factor(f3)
D <- makeDmatrix(list(f1, f2, f3))
dim(D)
ncol(D) - as.integer(rankMatrix(D))

## -----------------------------------------------------------------------------
lfe:::rankDefic(list(f1, f2, f3))

## -----------------------------------------------------------------------------
summary(est <- felm(y ~ x1 | f1 + f2 + f3, exactDOF = TRUE))

## -----------------------------------------------------------------------------
summary(est <- felm(y ~ x1 + f3 | f1 + f2, exactDOF = TRUE))
getfe(est)

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summary(est <- felm(y ~ x1 | f1 + f3 + f2, exactDOF = TRUE))
is.estimable(efactory(est), est$fe)
getfe(est)

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data.frame(f1, f2, f3)[1, ]

## -----------------------------------------------------------------------------
summary(est <- lm(y ~ x1 + f1 + f2 + f3))

## -----------------------------------------------------------------------------
fe <- list(f1, f2, f3)
wwcomp <- compfactor(fe, WW = TRUE)

## -----------------------------------------------------------------------------
lfe:::rankDefic(fe)
nlevels(wwcomp)

## -----------------------------------------------------------------------------
nlevels(interaction(compfactor(fe), wwcomp))
# pick the largest component:
wwdata <- data.frame(y, x1, f1, f2, f3)[wwcomp == 1, ]
print(wwdata)

## -----------------------------------------------------------------------------
set.seed(135)
x <- rnorm(10000)
f1 <- sample(1000, length(x), replace = TRUE)
f2 <- (f1 + sample(18, length(x), replace = TRUE)) %% 500
f3 <- (f2 + sample(9, length(x), replace = TRUE)) %% 500
y <- x + 1e-4 * f1 + sin(f2^2) +
  cos(f3)^3 + 0.5 * rnorm(length(x))
dataset <- data.frame(y, x, f1, f2, f3)
summary(est <- felm(y ~ x | f1 + f2 + f3,
  data = dataset, exactDOF = TRUE
))

## -----------------------------------------------------------------------------
nlevels(est$cfactor)
is.estimable(efactory(est), est$fe)
nrow(alpha <- getfe(est))

## -----------------------------------------------------------------------------
lfe:::rankDefic(est$fe)

## -----------------------------------------------------------------------------
wwcomp <- compfactor(est$fe, WW = TRUE)
nlevels(wwcomp)
wwset <- wwcomp == 1
sum(wwset)
summary(wwest <- felm(y ~ x | f1 + f2 + f3,
  data = dataset, subset = wwset, exactDOF = TRUE
))

## -----------------------------------------------------------------------------
lfe:::rankDefic(wwest$fe)

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nrow(wwalpha <- getfe(wwest))

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head(wwalpha)
alpha[c(35, 38, 40:43), ]

## -----------------------------------------------------------------------------
table(wwalpha[, "fe"])