feisr-package: Estimating Fixed Effects Individual Slope Models

In ruettenauer/feisr: Estimating Fixed Effects Individual Slope Models

Estimating Fixed Effects Individual Slope Models

Description

The main purpose of the package feisr is the estimation of fixed effects individual slopes models and respective test statistics. The fixed effects individual slopes (FEIS) estimator is a more general version of the well-known fixed effects estimator (FE), which allows to control for heterogeneous slopes in addition to time-constant heterogeneity \insertCiteBruderl.2015.387,Ruttenauer.2020,Wooldridge.2010.384feisr. This is done by running an lm() model on pre-transformed data, where we (1) estimate the individual-specific predicted values for the dependent variable and each covariate based on an individual intercept and the additional slope variables, (2) detrend the original data by these individual-specific predicted values, and (3) run an OLS model on the residual data. The package also provides two specification test for heterogeneous slopes \insertCite@more details and examples can be found in @Ruttenauer.2020feisr.

Details

The main functions of the feisr package are:

- feis(): fixed effects individual slopes estimator by applying lm to detrended data.

- feistest(): regression-based Hausman test for fixed effects individual slope models.

- bsfeistest(): bootstrapped Hausman test for fixed effects individual slope models.

The functions included in the R package feisr are also available in the xtfeis ado (https://ideas.repec.org/c/boc/bocode/s458045.html) for Stata. The plm-package provides functions for estimation of related models, like the mean group (MG) or common correlated effects mean groups (CCEMG) estimator via pmg or models with variable coefficients via pvcm.

Author(s)

Tobias Ruettenauer

Volker Ludwig

References

\insertAllCited

See Also

plm, pvcm, pmg

ruettenauer/feisr documentation built on April 5, 2022, 5:43 p.m.