reg_aux: Auxiliary regression of all covariates on one (or more)...

In MatthieuStigler/misconometrics_pkg: Various functions used in ecoonmetrics: covariate decomposition, auxiliary regression

Description

Given a regression of y on x and covariates, estimate the correlation between all covariates and the variable x

Usage

reg_aux(object, ...)

## Default S3 method:
reg_aux(object, var_main, var_controls = NULL, ...)

## S3 method for class 'lm'
reg_aux(object, var_main, var_controls = NULL,
  method = c("update", "update_lmfit", "sweep"), add_vcov = FALSE, ...)

## S3 method for class 'felm'
reg_aux(object, var_main, var_controls = NULL,
  method = c("update", "sweep"), add_vcov = FALSE, ...)

## S3 method for class 'reg_aux_lm'
vcov(object, ...)

Arguments

object	output from regression
...	unused
var_main	a character, name of the variable of interest
var_controls	a character, name of the covariates
method	whether to use the standard update() funciton, or a faster sweep one
add_vcov	for method with sweep, wether to compute also the vcov

Details

This is a generic function: methods can be defined for it directly or via the Summary group generic. For this to work properly, the arguments ... should be unnamed, and dispatch is on the first argument.

Value

An object of the same type

Methods (by class)

• default: Default method

• lm: Method for 'felm' object

• felm: Method for 'felm' object

• reg_aux_lm: Vcov method for some of the reg_aux output

Examples

  model_lm <- lm(y ~ lag.quarterly.revenue + price.index + income.level + market.potential, data=freeny)
  res_lm <- reg_aux(object=model_lm, var_main = "lag.quarterly.revenue")

MatthieuStigler/misconometrics_pkg documentation built on May 6, 2019, 9:07 a.m.