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% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/tool_ranfixef.R
\name{fixef.plm}
\alias{fixef.plm}
\alias{fixef}
\alias{print.fixef}
\alias{summary.fixef}
\alias{print.summary.fixef}
\alias{fixef.pggls}
\title{Extract the Fixed Effects}
\usage{
\method{fixef}{plm}(
object,
effect = NULL,
type = c("level", "dfirst", "dmean"),
vcov = NULL,
...
)
\method{print}{fixef}(
x,
digits = max(3, getOption("digits") - 2),
width = getOption("width"),
...
)
\method{summary}{fixef}(object, ...)
\method{print}{summary.fixef}(
x,
digits = max(3, getOption("digits") - 2),
width = getOption("width"),
...
)
\method{fixef}{pggls}(
object,
effect = NULL,
type = c("level", "dfirst", "dmean"),
vcov = NULL,
...
)
}
\arguments{
\item{effect}{one of \code{"individual"}, \code{"time"}, or \code{"twoways"}, only relevant in
case of two--ways effects models (where it defaults to \code{"individual"}),}
\item{type}{one of \code{"level"}, \code{"dfirst"}, or \code{"dmean"},}
\item{vcov}{a variance--covariance matrix furnished by the user or
a function to calculate one (see \strong{Examples}),}
\item{\dots}{further arguments.}
\item{x, object}{an object of class \code{"plm"}, an object of class
\code{"fixef"} for the \code{print} and the \code{summary} method,}
\item{digits}{digits,}
\item{width}{the maximum length of the lines in the print output,}
}
\value{
For function \code{fixef}, an object of class \code{c("fixef", "numeric")}
is returned: It is a numeric vector containing
the fixed effects with attribute \code{se} which contains the
standard errors. There are two further attributes: attribute
\code{type} contains the chosen type (the value of argument \code{type}
as a character); attribute \code{df.residual} holds the residual
degrees of freedom (integer) from the fixed effects model (plm
object) on which \code{fixef} was run. For the two-way unbalanced case, only
attribute \code{type} is added.
For function \code{summary.fixef}, an object of class
\code{c("summary.fixef", "matrix")} is returned: It is a matrix with four
columns in this order: the estimated fixed effects, their standard
errors and associated t--values and p--values.
For the two-ways unbalanced case, the matrix contains only the estimates.
The type of the fixed effects and the standard errors in the
summary.fixef object correspond to was requested in the \code{fixef}
function by arguments \code{type} and \code{vcov}, respectively.
}
\description{
Function to extract the fixed effects from a \code{plm} object and
associated summary method.
}
\details{
Function \code{fixef} calculates the fixed effects and returns an object
of class \code{c("fixef", "numeric")}. By setting the \code{type} argument,
the fixed effects may be returned in levels (\code{"level"}), as
deviations from the first value of the index (\code{"dfirst"}), or as
deviations from the overall mean (\code{"dmean"}). If the argument
\code{vcov} was specified, the standard errors (stored as attribute "se"
in the return value) are the respective robust standard errors.
For two-way fixed-effect models, argument \code{effect} controls which
of the fixed effects are to be extracted: \code{"individual"}, \code{"time"}, or
the sum of individual and time effects (\code{"twoways"}).
NB: See \strong{Examples} for how the sum of effects can be split in an individual
and a time component.
For one-way models, the effects of the model are extracted and the
argument \code{effect} is disrespected.
The associated \code{summary} method returns an extended object of class
\code{c("summary.fixef", "matrix")} with more information (see sections
\strong{Value} and \strong{Examples}).
References with formulae (except for the two-ways unbalanced case)
are, e.g., \insertCite{GREE:12;textual}{plm}, Ch. 11.4.4, p. 364,
formulae (11-25); \insertCite{WOOL:10;textual}{plm}, Ch. 10.5.3,
pp. 308-309, formula (10.58).
}
\examples{
data("Grunfeld", package = "plm")
gi <- plm(inv ~ value + capital, data = Grunfeld, model = "within")
fixef(gi)
summary(fixef(gi))
summary(fixef(gi))[ , c("Estimate", "Pr(>|t|)")] # only estimates and p-values
# relationship of type = "dmean" and "level" and overall intercept
fx_level <- fixef(gi, type = "level")
fx_dmean <- fixef(gi, type = "dmean")
overallint <- within_intercept(gi)
all.equal(overallint + fx_dmean, fx_level, check.attributes = FALSE) # TRUE
# extract time effects in a twoways effects model
gi_tw <- plm(inv ~ value + capital, data = Grunfeld,
model = "within", effect = "twoways")
fixef(gi_tw, effect = "time")
# with supplied variance-covariance matrix as matrix, function,
# and function with additional arguments
fx_level_robust1 <- fixef(gi, vcov = vcovHC(gi))
fx_level_robust2 <- fixef(gi, vcov = vcovHC)
fx_level_robust3 <- fixef(gi, vcov = function(x) vcovHC(x, method = "white2"))
summary(fx_level_robust1) # gives fixed effects, robust SEs, t- and p-values
# calc. fitted values of oneway within model:
fixefs <- fixef(gi)[index(gi, which = "id")]
fitted_by_hand <- fixefs + gi$coefficients["value"] * gi$model$value +
gi$coefficients["capital"] * gi$model$capital
# calc. fittes values of twoway unbalanced within model via effects:
gtw_u <- plm(inv ~ value + capital, data = Grunfeld[-200, ], effect = "twoways")
yhat <- as.numeric(gtw_u$model[ , 1] - gtw_u$residuals) # reference
pred_beta <- as.numeric(tcrossprod(coef(gtw_u), as.matrix(gtw_u$model[ , -1])))
pred_effs <- as.numeric(fixef(gtw_u, "twoways")) # sum of ind and time effects
all.equal(pred_effs + pred_beta, yhat) # TRUE
# Splits of summed up individual and time effects:
# use one "level" and one "dfirst"
ii <- index(gtw_u)[[1L]]; it <- index(gtw_u)[[2L]]
eff_id_dfirst <- c(0, as.numeric(fixef(gtw_u, "individual", "dfirst")))[ii]
eff_ti_dfirst <- c(0, as.numeric(fixef(gtw_u, "time", "dfirst")))[it]
eff_id_level <- as.numeric(fixef(gtw_u, "individual"))[ii]
eff_ti_level <- as.numeric(fixef(gtw_u, "time"))[it]
all.equal(pred_effs, eff_id_level + eff_ti_dfirst) # TRUE
all.equal(pred_effs, eff_id_dfirst + eff_ti_level) # TRUE
}
\references{
\insertAllCited{}
}
\seealso{
\code{\link[=within_intercept]{within_intercept()}} for the overall intercept of fixed
effect models along its standard error, \code{\link[=plm]{plm()}} for plm objects
and within models (= fixed effects models) in general. See
\code{\link[=ranef]{ranef()}} to extract the random effects from a random effects
model.
}
\author{
Yves Croissant
}
\keyword{regression}
|
