Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/tool_ranfixef.R

Function to extract the fixed effects from a `plm`

object and
associated summary method.

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 31 32 33 34 35 36 | ```
## S3 method for class 'plm'
fixef(
object,
effect = NULL,
type = c("level", "dfirst", "dmean"),
vcov = NULL,
...
)
## S3 method for class 'fixef'
print(
x,
digits = max(3, getOption("digits") - 2),
width = getOption("width"),
...
)
## S3 method for class 'fixef'
summary(object, ...)
## S3 method for class 'summary.fixef'
print(
x,
digits = max(3, getOption("digits") - 2),
width = getOption("width"),
...
)
## S3 method for class 'pggls'
fixef(
object,
effect = NULL,
type = c("level", "dfirst", "dmean"),
vcov = NULL,
...
)
``` |

`effect` |
one of |

`type` |
one of |

`vcov` |
a variance–covariance matrix furnished by the user or
a function to calculate one (see |

`...` |
further arguments. |

`x, object` |
an object of class |

`digits` |
digits, |

`width` |
the maximum length of the lines in the print output, |

Function `fixef`

calculates the fixed effects and returns an object
of class `c("fixef", "numeric")`

. By setting the `type`

argument,
the fixed effects may be returned in levels (`"level"`

), as
deviations from the first value of the index (`"dfirst"`

), or as
deviations from the overall mean (`"dmean"`

). If the argument
`vcov`

was specified, the standard errors (stored as attribute "se"
in the return value) are the respective robust standard errors.
For two-way fixed-effect models, argument `effect`

controls which
of the fixed effects are to be extracted: `"individual"`

, `"time"`

, or
the sum of individual and time effects (`"twoways"`

).
NB: See **Examples** for how the sum of effects can be split in an individual
and a time component.
For one-way models, the effects of the model are extracted and the
argument `effect`

is disrespected.

The associated `summary`

method returns an extended object of class
`c("summary.fixef", "matrix")`

with more information (see sections
**Value** and **Examples**).

References with formulae (except for the two-ways unbalanced case) are, e.g., \insertCiteGREE:12;textualplm, Ch. 11.4.4, p. 364, formulae (11-25); \insertCiteWOOL:10;textualplm, Ch. 10.5.3, pp. 308-309, formula (10.58).

For function `fixef`

, an object of class `c("fixef", "numeric")`

is returned: It is a numeric vector containing
the fixed effects with attribute `se`

which contains the
standard errors. There are two further attributes: attribute
`type`

contains the chosen type (the value of argument `type`

as a character); attribute `df.residual`

holds the residual
degrees of freedom (integer) from the fixed effects model (plm
object) on which `fixef`

was run. For the two-way unbalanced case, only
attribute `type`

is added.

For function `summary.fixef`

, an object of class
`c("summary.fixef", "matrix")`

is returned: It is a matrix with four
columns in this order: the estimated fixed effects, their standard
errors and associated t–values and p–values.
For the two-ways unbalanced case, the matrix contains only the estimates.
The type of the fixed effects and the standard errors in the
summary.fixef object correspond to was requested in the `fixef`

function by arguments `type`

and `vcov`

, respectively.

Yves Croissant

`within_intercept()`

for the overall intercept of fixed
effect models along its standard error, `plm()`

for plm objects
and within models (= fixed effects models) in general. See
`ranef()`

to extract the random effects from a random effects
model.

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 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 | ```
data("Grunfeld", package = "plm")
gi <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
fixef(gi)
summary(fixef(gi))
summary(fixef(gi))[ , c("Estimate", "Pr(>|t|)")] # only estimates and p-values
# relationship of type = "dmean" and "level" and overall intercept
fx_level <- fixef(gi, type = "level")
fx_dmean <- fixef(gi, type = "dmean")
overallint <- within_intercept(gi)
all.equal(overallint + fx_dmean, fx_level, check.attributes = FALSE) # TRUE
# extract time effects in a twoways effects model
gi_tw <- plm(inv ~ value + capital, data = Grunfeld,
model = "within", effect = "twoways")
fixef(gi_tw, effect = "time")
# with supplied variance-covariance matrix as matrix, function,
# and function with additional arguments
fx_level_robust1 <- fixef(gi, vcov = vcovHC(gi))
fx_level_robust2 <- fixef(gi, vcov = vcovHC)
fx_level_robust3 <- fixef(gi, vcov = function(x) vcovHC(x, method = "white2"))
summary(fx_level_robust1) # gives fixed effects, robust SEs, t- and p-values
# calc. fitted values of oneway within model:
fixefs <- fixef(gi)[index(gi, which = "id")]
fitted_by_hand <- fixefs + gi$coefficients["value"] * gi$model$value +
gi$coefficients["capital"] * gi$model$capital
# calc. fittes values of twoway unbalanced within model via effects:
gtw_u <- plm(inv ~ value + capital, data = Grunfeld[-200, ], effect = "twoways")
yhat <- as.numeric(gtw_u$model[ , 1] - gtw_u$residuals) # reference
pred_beta <- as.numeric(tcrossprod(coef(gtw_u), as.matrix(gtw_u$model[ , -1])))
pred_effs <- as.numeric(fixef(gtw_u, "twoways")) # sum of ind and time effects
all.equal(pred_effs + pred_beta, yhat) # TRUE
# Splits of summed up individual and time effects:
# use one "level" and one "dfirst"
ii <- index(gtw_u)[[1L]]; it <- index(gtw_u)[[2L]]
eff_id_dfirst <- c(0, as.numeric(fixef(gtw_u, "individual", "dfirst")))[ii]
eff_ti_dfirst <- c(0, as.numeric(fixef(gtw_u, "time", "dfirst")))[it]
eff_id_level <- as.numeric(fixef(gtw_u, "individual"))[ii]
eff_ti_level <- as.numeric(fixef(gtw_u, "time"))[it]
all.equal(pred_effs, eff_id_level + eff_ti_dfirst) # TRUE
all.equal(pred_effs, eff_id_dfirst + eff_ti_level) # TRUE
``` |

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