felm_broom_tidy: tidy felm output using data.table

In ChandlerLutz/CLmisc: Chandler Lutz's Miscellaneous R functions

tidy felm output using data.table

Description

Fast tidying of broom felm output. Note that the function will use clustered standard errors if they are available. Otherwise, the function will use robust standard errors

Usage

felm_broom_tidy(felm.mod)

Arguments

felm.mod

A model of type felm from the lfe package

Value

a data.table with the tidy estimation output

Examples

##From felm
library(lfe)

## create covariates
x <- rnorm(1000)
x2 <- rnorm(length(x))

## individual and firm
id <- factor(sample(20,length(x),replace=TRUE))
firm <- factor(sample(13,length(x),replace=TRUE))

## effects for them
id.eff <- rnorm(nlevels(id))
firm.eff <- rnorm(nlevels(firm))

## left hand side
u <- rnorm(length(x))
y <- x + 0.5*x2 + id.eff[id] + firm.eff[firm] + u

## estimate and print result
est <- felm(y ~ x+x2| id + firm)
summary(est, robust = TRUE)
felm_broom_tidy(est)

## With clustered standard errors
est2 <- felm(y ~ x+x2| id + firm | 0 | firm)
summary(est2)
felm_broom_tidy(est2)


# make an example with 'reverse causation'
# Q and W are instrumented by x3 and the factor x4. Report robust s.e.
x3 <- rnorm(length(x))
x4 <- sample(12,length(x),replace=TRUE)

Q <- 0.3*x3 + x + 0.2*x2 + id.eff[id] + 0.3*log(x4) - 0.3*y + rnorm(length(x),sd=0.3)
W <- 0.7*x3 - 2*x + 0.1*x2 - 0.7*id.eff[id] + 0.8*cos(x4) - 0.2*y+ rnorm(length(x),sd=0.6)

# add them to the outcome
y <- y + Q + W

ivest <- felm(y ~ x + x2 | id+firm | (Q|W ~x3+factor(x4)))
summary(ivest,robust=TRUE)
felm_broom_tidy(ivest)


##With clustered standard errors
ivest2 <- felm(y ~ x + x2 | id+firm | (Q|W ~x3+factor(x4)) | firm)
summary(ivest2)
felm_broom_tidy(ivest2)

ChandlerLutz/CLmisc documentation built on Dec. 2, 2022, 12:40 p.m.