summary.felm

0th

Percentile

Summarize felm model fits

summary method for class "felm".

Usage
# S3 method for felm
summary(object, ..., robust = !is.null(object$clustervar),
  lhs = NULL)
Arguments
object

an object of class "felm", a result of a call to felm.

...

further arguments passed to or from other methods.

robust

logical. Use robust standard errors. See notes.

lhs

character. If multiple left hand sides, specify the name of the one to obtain a summary for.

Value

The function summary.felm returns an object of class "summary.felm". It is quite similar to en "summary.lm" object, but not entirely compatible.

The "summary.felm" object is a list containing the following fields:

residuals

a numerical vector. The residuals of the full system, with dummies.

p

an integer. The total number of coefficients, including those projected out.

Pp

an integer. The number of coefficients, excluding those projected out.

coefficients

a Pp x 4 matrix with columns for the estimated coefficients, their standard errors, t-statistic and corresponding (two-sided) p-value.

rse

residual standard error.

r2

R^2, the fraction of variance explained by the model.

r2adj

Adjusted R^2.

fstat

F-statistic.

pval

P-values.

P.fstat

Projected F-statistic. The result of a call to waldtest

fe

list of factors. A list of the terms in the second part of the model.

lhs.

character. If object is the result of an estimation with multiple left hand sides, the actual argument lhs will be copied to this field.

iv1fstat

F-statistic for excluded instruments in 1. step IV, see felm.

iv1pval

P-value for iv1fstat.

Note

The standard errors are adjusted for the reduced degrees of freedom coming from the dummies which are implicitly present. They are also small-sample corrected.

If the robust parameter is FALSE, the returned object will contain ordinary standard errors. If the robust parameter is TRUE, clustered standard errors are reported if a cluster was specified in the call to felm; if not, heteroskedastic robust standard errors are reported.

Several F-statistics reported. The P.fstat is for the projected system. I.e. a joint test on whether all the Pp coefficients in coefficients are zero. Then there are fstat and pval which is a test on all the coefficients including the ones projected out, except for an intercept. This statistic assumes i.i.d. errors and is not reliable for robust or clustered data.

For a 1st stage IV-regression, an F-statistic against the model with excluded instruments is also computed.

See Also

waldtest

Aliases
  • summary.felm
Documentation reproduced from package lfe, version 2.8-2, License: Artistic-2.0

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