interFE: Interactive Fixed Effects Models

In xuyiqing/fect: Fixed Effects Counterfactual Estimators

Interactive Fixed Effects Models

Description

Estimating interactive fixed effect models.

Usage

interFE(formula = NULL, data, Y, X = NULL, W = NULL,
         index, r = 0, force = "two-way",
         se = FALSE, nboots = 500, seed = NULL, 
         tol = 1e-3, max_iteration = 500, 
         binary = FALSE, QR = FALSE, normalize = FALSE)

Arguments

formula	an object of class "formula": a symbolic description of the model to be fitted.
data	a data frame.
Y	outcome variable.
X	time-varying covariates.
W	weights.
index	a two-element string vector specifying the unit (group) and time indicators.
r	an integer specifying the number of factors.
force	a string indicating whether unit/time/both fixed effects will be imposed: "none", "unit", "time", or "two-way".
se	logical; if TRUE, computes bootstrap-based standard errors.
nboots	number of bootstrap runs (ignored if se=FALSE).
seed	random seed.
tol	tolerance for EM algorithm.
max_iteration	max number of EM iterations.
binary	logical flag for a probit link (not fully supported here).
QR	logical flag for QR-based factor analysis in probit model (not fully supported).
normalize	logical; if TRUE, scales outcome/covariates.

Details

interFE estimates interactive fixed effect models as in Bai (2009).

Value

beta	estimated coefficients.
mu	estimated grand mean.
factor	estimated time-varying factors.
lambda	estimated factor loadings.
VNT	diagonal matrix of r eigenvalues.
niter	number of iterations before convergence.
alpha	estimated unit fixed effects (if imposed).
xi	estimated time fixed effects (if imposed).
residuals	model residuals.
sigma2	residual mean squared error.
IC	information criterion.
ValidX	logical for whether valid covariates exist.
dat.Y	matrix of outcome data.
dat.X	array of independent variables.
Y	name of the outcome variable.
X	name of time-varying control variables.
index	name of unit/time indicators.
est.table	table of final estimates.
est.boot	matrix of bootstrap results.

Author(s)

Licheng Liu; Ye Wang; Yiqing Xu

References

Bai, J. (2009). Panel data models with interactive fixed effects. Econometrica, 77(4), 1229-1279.

See Also

print.interFE, fect

Examples

library(fect)
data(fect)
d <- simdata[-(1:150),] # remove the treated units
out <- interFE(Y ~ X1 + X2, data = d, index=c("id","time"),
               r = 2, force = "two-way", nboots = 50)

xuyiqing/fect documentation built on April 12, 2025, 9:50 p.m.