inst/doc/lfehow.R

In lfe: Linear Group Fixed Effects

## ----eval=FALSE---------------------------------------------------------------
#  Y ~ X1 + X2 + ... + Xk + D1 + D2 + ... + De

## ----eval=FALSE---------------------------------------------------------------
#  felm(Y ~ X1 + X2 + ... + Xk | D1 + D2 + ... + De)

## ----eval=FALSE---------------------------------------------------------------
#  Y ~ X1 + X2 | X3:D1 + D2 + D3

## -----------------------------------------------------------------------------
set.seed(41)
x <- rnorm(500)
x2 <- rnorm(length(x))
x3 <- rnorm(length(x))

## -----------------------------------------------------------------------------
f1 <- factor(sample(7, length(x), replace = TRUE))
f2 <- factor(sample(4, length(x), replace = TRUE))
f3 <- factor(sample(3, length(x), replace = TRUE))
eff1 <- rnorm(nlevels(f1))
eff2 <- rexp(nlevels(f2))
eff3 <- runif(nlevels(f3))

## -----------------------------------------------------------------------------
y <- x + 0.5 * x2 + 0.25 * x3 + eff1[f1] + eff2[f2] + eff3[f3] + rnorm(length(x))

## -----------------------------------------------------------------------------
demean <- function(v, fl) {
  Pv <- v
  oldv <- v - 1
  while (sqrt(sum((Pv - oldv)**2)) >= 1e-7) {
    oldv <- Pv
    for (f in fl) Pv <- Pv - ave(Pv, f)
  }
  Pv
}

## -----------------------------------------------------------------------------
fl <- list(f1, f2, f3)
Py <- demean(y, fl)
Px <- demean(x, fl)
Px2 <- demean(x2, fl)
Px3 <- demean(x3, fl)

## -----------------------------------------------------------------------------
summary(lm(Py ~ Px + Px2 + Px3 - 1))

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

## -----------------------------------------------------------------------------
library(lfe, quietly = TRUE)
summary(est <- felm(y ~ x + x2 + x3 | f1 + f2 + f3))

## ----tidy=FALSE---------------------------------------------------------------
ef <- function(v, addnames) {
  r1 <- v[[1]]
  r2 <- v[[8]]
  r3 <- v[[12]]
  result <- c(r1 + r2 + r3, v[2:7] - r1, v[9:11] - r2, v[13:14] - r3)
  if (addnames) {
    names(result) <- c(
      "(Intercept)",
      paste("f1", 2:7, sep = "."),
      paste("f2", 2:4, sep = "."),
      paste("f3", 2:3, sep = ".")
    )
  }
  result
}
# verify that it's estimable
is.estimable(ef, est$fe)
getfe(est, ef = ef, se = TRUE, bN = 10000)

## -----------------------------------------------------------------------------
summary(lm(y ~ x + x2 + x3 + f1 + f2 + f3))