In eloualiche/FixedEffectjlr: A package for fast Fixed Effect Models in R

First load the package

library(FixedEffectjlr)
JULIA_HOME <- "/Applications/Julia-0.6.app/Contents/Resources/julia/bin/"
FixedEffect_setup(JULIA_HOME)

A silly example to illustrate the syntax:

df <- Ecdat::Cigar
FixedEffectIV_nse(df, sales ~ ndi, price ~ pimin, state+year, weights = NULL, vcov = robust)

And run the standard example from InteractiveFixedEffectModels.jl

df <- Ecdat::Cigar
FixedEffectInteract(df, "sales", "price", "state+year", 2, "state", vcov = "robust")

The output is a list with three components: - statistics that includes all the relevant information from the regression to create a table - summary that mimicks a coeftest object and can be used inside of stargazer - dt_augment that includes the residuals and factor loadings (it saves the PCs by default for this function)

ife <- FixedEffectInteract(df, "sales", "price", "state+year", 2, "state", vcov = "robust")
str(ife$statistics)
stargazer::stargazer(ife$summary)
ife$dt_augment[]

      loadings1   factors1 loadings2   factors2   residuals    state
   1:  123.4569 -0.2474458  17.67403 0.27993746  -5.2228250 136.8897
   2:  123.4569 -0.2646732  17.67403 0.22784788  -0.1649076 136.8897
   3:  123.4569 -0.2576672  17.67403 0.21923759   2.2223407 136.8897
   4:  123.4569 -0.3021446  17.67403 0.07257907   8.9285553 136.8897
   5:  123.4569 -0.2563533  17.67403 0.01662833   3.4067214 136.8897
  ---                                                               
1376:   55.5659  0.1690440 -43.31349 0.16784489  -2.6102131 162.8116
1377:   55.5659  0.1700898 -43.31349 0.18365775  -2.4587907 162.8116
1378:   55.5659  0.2031630 -43.31349 0.19880231 -13.5040138 162.8116
1379:   55.5659  0.2218755 -43.31349 0.21521906  -2.6961542 162.8116
1380:   55.5659  0.2861259 -43.31349 0.25092751   8.9333349 162.8116