is.estimable: Verify estimability of function

In sgaure/lfe: Linear Group Fixed Effects

Description

Verify that a function you have written for getfe is indeed estimable.

Usage

is.estimable(
  ef,
  fe,
  R = NULL,
  nowarn = FALSE,
  keepdiff = FALSE,
  threshold = 500 * getOption("lfe.eps")
)

Arguments

ef	function. The function to be verified.
fe	list of factors.
R	numeric. Vector of residuals, if NULL, a random one is created.
nowarn	logical. Set to TRUE if is.estimable should not throw a warning for non-estimable functions.
keepdiff	logical. Return differences between two different runs of the Kaczmarz method.
threshold	numeric. Threshold for determining estimability.

Details

When writing custom estimable functions for getfe, the function is.estimable can be used to test it for estimability. is.estimable() solves the sparse residual system with the Kaczmarz method, using two different initial values. Then ef() is applied to the two solutions. If the value of ef() differs by more than 1e-5 in any coordinate, FALSE is returned, otherwise TRUE is returned. If keepdiff=TRUE, the vector of differences is attached as an attribute 'diff' to the returned logical value. If you have problems with estimability, it is a fair guess that those entries with a difference in absolute values smaller than, say, 1e-5 are estimable, whereas the others are not.

Value

Returns a logical.

See Also

getfe

Examples

oldopts <- options(lfe.threads=1)
## create individual and firm
id <- factor(sample(5000,50000,replace=TRUE))
firm <- factor(sample(3000,50000,replace=TRUE))

## create some estimable functions. It's faster to
## use numerical indices in ef rather than strings, and the input v
## to ef has no names, we have to add them when requested
ef <- function(v,addnames) {
  w <- c(v[6]-v[5],v[7000]+v[5],v[7000]-v[6000])
  if(addnames) names(w) <-c('id6-id5','f2k+id5','f2k-f1k')
  w
}
is.estimable(ef,list(id=id,firm=firm))

## Then make an error; in the last coordinate, sum two firms
ef <- function(v,addnames) {
  w <- c(v[6]-v[5],v[7000]+v[5],v[7000]+v[6000])
  if(addnames) names(w) <-c('id6-id5','f2k+id5','f2k-f1k')
  w
}
is.estimable(ef, list(id=id,firm=firm), keepdiff=TRUE)
options(oldopts)

sgaure/lfe documentation built on Dec. 27, 2019, 8:06 a.m.