lfe (version 1.4-641)

btrap: Bootstrap standard errors for the group fixed effects

Description

Bootstrap standard errors for the group fixed effects which were swept out during an estimation with felm.

Usage

btrap(alpha, obj, N=100, ef=NULL,
      eps=getOption('lfe.eps'), threads=getOption('lfe.threads'))

Value

A data-frame of the same size as alpha is returned, with standard errors filled in.

concept

Bootstrap

Details

The bootstrapping is done in parallel if threads > 1. However, for better utilization of parallelism one should load one of the packages doMC or doSMP. The former seems to perform better in this context. btrap is run automatically from getfe if se=TRUE is specified.

Examples

## create covariates
x <- rnorm(5000)
x2 <- rnorm(length(x))

## create individual and firm
id <- factor(sample(1000,length(x),replace=TRUE))
firm <- factor(sample(500,length(x),replace=TRUE))

## effects
id.eff <- rlnorm(nlevels(id))
firm.eff <- rexp(nlevels(firm))

## left hand side
y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + rnorm(length(x))

## estimate and print result
est <- felm(y ~ x+x2 + G(id)+G(firm))
summary(est)
## extract the group effects
alpha <- getfe(est)
head(alpha)
## bootstrap standard errors
head(btrap(alpha,est))

## bootstrap some differences
ef <- function(v,addnames) {
  w <- c(v[2]-v[1],v[3]-v[2],v[3]-v[1])
  if(addnames) {
     names(w) <-c('id2-id1','id3-id2','id3-id1')
     attr(w,'extra') <- list(note=c('line1','line2','line3'))
  }
  w
}
# check that it's estimable
lfe:::is.estimable(ef,est$fe)

head(btrap(alpha,est,ef=ef))