interFE: Interactive Fixed Effects Models

In xuyiqing/fect: Fixed Effects Counterfactuals

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 (must be with a dichotomous treatment but balanced is not required).
Y	outcome.
X	time-varying covariates.
W	weights.
index	a two-element string vector specifying the unit (group) and time indicators. Must be of length 2.
r	an integer specifying the number of factors.
force	a string indicating whether unit or time fixed effects will be imposed. Must be one of the following, "none", "unit", "time", or "two-way". The default is "two-way".
se	a logical flag indicating whether uncertainty estimates will be produced via bootstrapping.
nboots	an integer specifying the number of bootstrap runs. Ignored if se = FALSE.
seed	an integer that sets the seed in random number generation. Ignored if se = FALSE and r is specified.
tol	a numeric value that specifies tolerate level.
max_iteration	the maximal number of iterations for the EM algorithm.
binary	a logical flag indicating whether a probit link function will be used.
QR	a logical flag indicating whether QR decomposition will be used for factor analysis in probit model.
normalize	a logic flag indicating whether to scale outcome and covariates. Useful for accelerating computing speed when magnitude of data is large.The default is normalize=FALSE.

Details

interFE estimates interactive fixed effect models proposed by Bai (2009).

Value

beta	estimated coefficients.
mu	estimated grand mean.
factor	estimated factors.
lambda	estimated factor loadings.
VNT	a diagonal matrix that consists of the r eigenvalues.
niter	the number of iteration before convergence.
alpha	estimated unit fixed effect (if force is "unit" or "two-way").
xi	estimated time fixed effect (if force is "time" or "two-way").
residuals	residuals of the estimated interactive fixed effect model.
sigma2	mean squared error of the residuals.
IC	the information criterion.
ValidX	a logical flag specifying whether there are valid covariates.
dat.Y	a matrix storing data of the outcome variable.
dat.X	an array storing data of the independent variables.
Y	name of the outcome variable.
X	name of the time-varying control variables.
index	name of the unit and time indicators.
est.table	a table of the estimation results.
est.boot	a matrix storing results from bootstraps.

Author(s)

Licheng Liu; Ye Wang; Yiqing Xu

References

Jushan Bai. 2009. "Panel Data Models with Interactive Fixed Effects." Econometrica 77:1229–1279.

See Also

print.interFE and fect

Examples

library(fect)
data(fect)
d <- simdata1[-(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 March 30, 2024, 10:10 a.m.