compute_fes: Fixed Effects Computation

In tomzylkin/penppml: Penalized Poisson Pseudo Maximum Likelihood Regression

Fixed Effects Computation

Description

This function is a helper for xvalidate that computes FEs using PPML First Order Conditions (FOCs).

Usage

compute_fes(
  y,
  fes,
  x,
  b,
  insample_obs = rep(1, n),
  onlymus = FALSE,
  tol = 1e-08,
  verbose = FALSE
)

Arguments

y	Dependent variable (a vector).
fes	List of fixed effects.
x	Regressor matrix.
b	A vector of coefficient estimates.
insample_obs	Vector of observations used to estimate the b coefficients..
onlymus	Logical. If TRUE, returns only the conditional means.
tol	A tolerance parameter.
verbose	Logical. If TRUE, prints messages to the console while evaluating.

Value

If onlymus = TRUE, the vector of conditional means. Otherwise, a list with two elements:

• mu: conditional means.

• fe_values: fixed effects.

tomzylkin/penppml documentation built on Feb. 13, 2025, 9:10 p.m.