fixest (version 0.8.4)

confint.fixest: Confidence interval for parameters estimated with fixest

Description

This function computes the confidence interval of parameter estimates obtained from a model estimated with femlm, feols or feglm.

Usage

# S3 method for fixest
confint(object, parm, level = 0.95, se, cluster, dof = getFixest_dof(), ...)

Arguments

object

A fixest object. Obtained using the functions femlm, feols or feglm.

parm

The parameters for which to compute the confidence interval (either an integer vector OR a character vector with the parameter name). If missing, all parameters are used.

level

The confidence level. Default is 0.95.

se

Character scalar. Which kind of standard error should be computed: “standard”, “hetero”, “cluster”, “twoway”, “threeway” or “fourway”? By default if there are clusters in the estimation: se = "cluster", otherwise se = "standard". Note that this argument can be implicitly deduced from the argument cluster.

cluster

Tells how to cluster the standard-errors (if clustering is requested). Can be either a list of vectors, a character vector of variable names, a formula or an integer vector. Assume we want to perform 2-way clustering over var1 and var2 contained in the data.frame base used for the estimation. All the following cluster arguments are valid and do the same thing: cluster = base[, c("var1", "var2")], cluster = c("var1", "var2"), cluster = ~var1+var2. If the two variables were used as clusters in the estimation, you could further use cluster = 1:2 or leave it blank with se = "twoway" (assuming var1 [resp. var2] was the 1st [res. 2nd] cluster). You can interact two variables using ^ with the following syntax: cluster = ~var1^var2 or cluster = "var1^var2".

dof

An object of class dof.type obtained with the function dof. Represents how the degree of freedom correction should be done.You must use the function dof for this argument. The arguments and defaults of the function dof are: adj = TRUE, fixef.K="nested", cluster.adj = TRUE, cluster.df = "conventional", t.df = "conventional", fixef.force_exact=FALSE). See the help of the function dof for details.

...

Not currently used.

Value

Returns a data.frame with two columns giving respectively the lower and upper bound of the confidence interval. There is as many rows as parameters.

Examples

# NOT RUN {
# Load trade data
data(trade)

# We estimate the effect of distance on trade (with 3 fixed-effects)
est_pois = femlm(Euros ~ log(dist_km) + log(Year) | Origin + Destination +
                 Product, trade)

# confidence interval with "normal" VCOV
confint(est_pois)

# confidence interval with "clustered" VCOV (w.r.t. the Origin factor)
confint(est_pois, se = "cluster")


# }