lfe v2.5-1998

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Linear Group Fixed Effects

Transforms away factors with many levels prior to doing an OLS. Useful for estimating linear models with multiple group fixed effects, and for estimating linear models which uses factors with many levels as pure control variables. Includes support for instrumental variables, conditional F statistics for weak instruments, robust and multi-way clustered standard errors, as well as limited mobility bias correction.

Functions in lfe

Name Description
condfstat Compute conditional F statistic for weak instruments in an IV-estimation with multiple endogenous variables
summary Summarize felm model fits
waldtest Compute Wald test for joint restrictions on coefficients
chainsubset Chain subset conditions
getfe Retrieve the group fixed effects
nlexpect Compute expectation of a function of the coefficients.
is.estimable Verify estimability of function
mctrace Compute trace of a large matrix by sample means
felm Fit a linear model with multiple group fixed effects
compfactor Find the connected components
demeanlist Centre vectors on multiple groups
varvars Compute the variance of the fixed effect variance estimate
bccorr Compute limited mobility bias corrected correlation between fixed effects
fevcov Compute limited mobility bias corrected covariance matrix between fixed effects
btrap Bootstrap standard errors for the group fixed effects
lfe-package Overview. Linear Group Fixed Effects
cgsolve Solve a symmetric linear system with the conjugate gradient method
kaczmarz Solve a linear system defined by factors
efactory Create estimable function
makeDmatrix Make sparse matrix of dummies from factor list
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Vignettes of lfe

Name
biascorrection.Rnw
identification.Rnw
lfehow.Rnw
speed.Rnw
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Last month downloads

Details

Date 2016-04-18
Copyright 2011-2016, Simen Gaure
VignetteBuilder knitr
ByteCompile yes
License Artistic-2.0
Classification/JEL C13, C23, C60
Classification/MSC 62J05, 65F10, 65F50
RoxygenNote 5.0.1
NeedsCompilation yes
Packaged 2016-04-18 09:20:05 UTC; sgaure
Repository CRAN
Date/Publication 2016-04-19 00:34:26

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