library(knitr)

estimatr is for (fast) OLS and IV regression with robust standard errors. This document shows how estimatr integrates with RStudio's tidyverse suite of packages.

We use the Swiss Fertility and Socioeconomic Indicators data (available in R, description here) to show how lm_robust works with dplyr, ggplot2, and purrr. What is shown for lm_robust here typically applies to all the other estimatr functions (lm_robust, difference_in_mean, lm_lin, iv_robust, and horovitz_thompson).

Getting tidy

The first step to the tidyverse is turning model output into data we can manipulate. The tidy function converts an lm_robust object into a data.frame.

library(estimatr)
fit <- lm_robust(Fertility ~ Agriculture + Catholic, data = swiss)
tidy(fit)

Data manipulation with dplyr

Once a regression fit is a data.frame, you can use any of the dplyr "verbs" for data manipulation, like mutate,filter, select, summarise, group_by, and arrange (more on this here).

library(tidyverse)

# lm_robust and filter
fit %>% tidy %>% filter(term == "Agriculture")

# lm_robust and select
fit %>% tidy %>% select(term, estimate, std.error)

# lm_robust and mutate
fit %>% tidy %>% mutate(t_stat = estimate/ std.error,
                        significant = p.value <= 0.05)

Data visualization with ggplot2

ggplot2 offers a number of data visualization tools that are compatible with estimatr

  1. Make a coefficient plot:
fit %>% 
  tidy %>% 
  filter(term != "(Intercept)") %>%
  ggplot(aes(y = term, x = estimate)) + 
  geom_vline(xintercept = 0, linetype = 2) + 
  geom_point() + 
  geom_errorbarh(aes(xmin = conf.low, xmax = conf.high, height = 0.1)) + 
  theme_bw()
  1. Put CIs based on robust variance estimates (rather than the "classical" variance estimates) with the geom_smooth and stat_smooth functions.
library(ggplot2)
ggplot(swiss, aes(x = Agriculture, y = Fertility)) +
  geom_point() +
  geom_smooth(method = "lm_robust") +
  theme_bw()

Note that the functional form can include polynomials. For instance, if the model is $Fertility \sim Agriculture + Agriculture^2 + Agriculture^3$, we can model this in the following way:

library(ggplot2)
ggplot(swiss, aes(x = Agriculture, y = Fertility)) +
  geom_point() +
  geom_smooth(method = "lm_robust",
              formula = y ~ poly(x, 3, raw = TRUE)) +
  theme_bw()

Bootstrap using rsample

The rsample pacakage provides tools for bootstrapping:

library(rsample)

boot_out <-
  bootstraps(data = swiss, 500)$splits %>%
  map(~ lm_robust(Fertility ~ Catholic + Agriculture, data = analysis(.))) %>% 
  map(tidy) %>%
  bind_rows(.id = "bootstrap_replicate")
kable(head(boot_out))

boot_out is a data.frame that contains estimates from each boostrapped sample. We can then use dplyr functions to summarize the bootstraps, tidyr functions to reshape the estimates, and GGally::ggpairs to visualize them.

boot_out %>%
  group_by(term) %>%
  summarise(boot_se = sd(estimate))

# To visualize the sampling distribution

library(GGally)
boot_out %>% 
  select(bootstrap_replicate, term, estimate) %>%
  spread(key = term, value = estimate) %>%
  select(-bootstrap_replicate) %>%
  ggpairs(lower = list(continuous = wrap("points", alpha = 0.1))) +
  theme_bw()

Multiple models using purrr

purrr provides tools to perform the same operation on every element of a vector. For instance, we may want to estimate a model on different subsets of data. We can use the map function to do this.

library(purrr)

# Running the same model for highly educated and less educated cantons/districts

two_subsets <- 
  swiss %>%
  mutate(HighlyEducated = as.numeric(Education > 8)) %>%
  split(.$HighlyEducated) %>%
  map( ~ lm_robust(Fertility ~ Catholic, data = .)) %>%
  map(tidy) %>%
  bind_rows(.id = "HighlyEducated")

kable(two_subsets, digits =2)

Alternatively, we might want to regress different dependent variables on the same independent variable. map can be used alongwith estimatr functions for this purpose as well.

three_outcomes <-
  c("Fertility", "Education", "Agriculture") %>%
  map(~ formula(paste0(., " ~ Catholic"))) %>%
  map(~ lm_robust(., data = swiss)) %>%
  map_df(tidy)

kable(three_outcomes, digits =2)

Using ggplot2, we can make a coefficient plot:

three_outcomes %>%
  filter(term == "Catholic") %>%
  ggplot(aes(x = estimate, y = outcome)) +
  geom_vline(xintercept = 0, linetype = 2) +
  geom_point() + 
  geom_errorbarh(aes(xmin = conf.low, xmax = conf.high, height = 0.1)) + 
  ggtitle("Slopes with respect to `Catholic`") + 
  theme_bw()

Concluding thoughts

Using estimatr functions in the tidyverse is easy once the model outputs have been turned into data.frames. We accomplish this with the tidy function. After that, so many summary and visualization possibilities open up. Happy tidying!



graemeblair/DDestimate documentation built on Sept. 10, 2019, 7:38 p.m.