lfe v2.8-2

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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 mctrace Compute trace of a large matrix by sample means makeDmatrix Make sparse matrix of dummies from factor list felm Fit a linear model with multiple group fixed effects waldtest Compute Wald test for joint restrictions on coefficients bccorr Compute limited mobility bias corrected correlation between fixed effects demeanlist Centre vectors on multiple groups diammatrix Find diameters of mobility graphs fevcov Compute limited mobility bias corrected covariance matrix between fixed effects btrap Bootstrap standard errors for the group fixed effects compfactor Find the connected components condfstat Compute conditional F statistic for weak instruments in an IV-estimation with multiple endogenous variables fixedse Compute standard errors for fixed effects is.estimable Verify estimability of function getfe Retrieve the group fixed effects summary.felm Summarize felm model fits varvars Compute the variance of the fixed effect variance estimate cgsolve Solve a symmetric linear system with the conjugate gradient method efactory Create estimable function chainsubset Chain subset conditions kaczmarz Solve a linear system defined by factors lfe-package Overview. Linear Group Fixed Effects sargan Compute Sargan's S nlexpect Compute expectation of a function of the coefficients. No Results!