feisr-package

Estimating Fixed Effects Individual Slope Models

The main purpose of the package feisr is the estimation of fixed effects individual slopes models and respective test statistics. The fixed effects individual slopes (FEIS) estimator is a more general version of the well-known fixed effects estimator (FE), which allows to control for heterogeneous slopes in addition to time-constant heterogeneity if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="Bruderl.2015.387,Ruttenauer.2020,Wooldridge.2010.384",package="feisr",cached_env=.Rdpack.currefs) . This is done by running an lm() model on pre-transformed data, where we (1) estimate the individual-specific predicted values for the dependent variable and each covariate based on an individual intercept and the additional slope variables, (2) detrend the original data by these individual-specific predicted values, and (3) run an OLS model on the residual data. The package also provides two specification test for heterogeneous slopes if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_citeOnly(keys="@more details and examples canbe found in @Ruttenauer.2020",package="feisr",cached_env=.Rdpack.currefs) . package

Details

The main functions of the feisr package are:

• feis(): fixed effects individual slopes estimator by applying lm to detrended data.

• feistest(): regression-based Hausman test for fixed effects individual slope models.

• bsfeistest(): bootstrapped Hausman test for fixed effects individual slope models.

The functions included in the R package feisr are also available in the xtfeis ado (https://ideas.repec.org/c/boc/bocode/s458045.html) for Stata. The plm-package provides functions for estimation of related models, like the mean group (MG) or common correlated effects mean groups (CCEMG) estimator via pmg or models with variable coefficients via pvcm.

References

if(!exists(".Rdpack.currefs")) .Rdpack.currefs <-new.env();Rdpack::insert_all_ref(.Rdpack.currefs)

See Also

plm, pvcm, pmg

Author(s)

Tobias Ruettenauer

Volker Ludwig