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fixest

Fast Fixed-Effects Estimations

Fast and user-friendly estimation of econometric models with multiple fixed-effects. Includes ordinary least squares (OLS), generalized linear models (GLM) and the negative binomial. The core of the package is based on optimized parallel C++ code, scaling especially well for large data sets. The method to obtain the fixed-effects coefficients is based on Berge (2018) <https://wwwen.uni.lu/content/download/110162/1299525/file/2018_13>. Further provides tools to export and view the results of several estimations with intuitive design to cluster the standard-errors.

Functions (87)

AIC.fixest

Aikake's an information criterion

BIC.fixest

Bayesian information criterion

aggregate.fixest

Aggregates the values of DiD coefficients a la Sun and Abraham

as.list.fixest_multi

Transforms a fixest_multi object into a list

base_did

Sample data for difference in difference

base_stagg

Sample data for staggered difference in difference

bin

Bins the values of a variable (typically a factor)

bread.fixest

Extracts the bread matrix from fixest objects

cash-.fixest_multi

Extracts the root of a fixest_multi object

coef.fixest

Extracts the coefficients from a fixest estimation

coef.fixest_multi

Extracts the coefficients of fixest_multi objects

coefplot

Plots confidence intervals and point estimates

coeftable

Obtain various statistics from an estimation

collinearity

Collinearity diagnostics for fixest objects

confint.fixest

Confidence interval for parameters estimated with fixest

degrees_freedom

Gets the degrees of freedom of a fixest estimation

demean

Centers a set of variables around a set of factors

deviance.fixest

Extracts the deviance of a fixest estimation

did_means

Treated and control sample descriptives

estfun.fixest

Extracts the scores from a fixest estimation

etable

Estimations table (export the results of multiples estimations to a DF or to Latex)

extraline_register

feNmlm

Fixed effects nonlinear maximum likelihood models

feglm

Fixed-effects GLM estimations

femlm

Fixed-effects maximum likelihood model

feols

Fixed-effects OLS estimation

fitstat

Computes fit statistics of fixest objects

fitstat_register

fitted.fixest

Extracts fitted values from a fixest fit

fixef.fixest

Extract the Fixed-Effects from a fixest estimation.

fixef_reexported

Functions exported from nlme to implement fixest methods

fixest

Fast and User-Friendly Fixed-Effects Estimations

fixest-deprecated

Deprecated functions in package fixest.

fixest_startup_msg

Permanently removes the fixest package startup message

formula.fixest

Extract the formula of a fixest fit

hatvalues.fixest

Hat values for fixest objects

Create, or interact variables with, factors

Lags a variable in a fixest estimation

lag.formula

Lags a variable using a formula

logLik.fixest

Extracts the log-likelihood

model.matrix.fixest

Design matrix of a fixest object

nobs.fixest

Extracts the number of observations form a fixest object

obs

Extracts the observations used for the estimation

obs2remove

Finds observations to be removed from ML estimation with fixed-effects

panel

Constructs a fixest panel data base

plot.fixest.fixef

Displaying the most notable fixed-effects

predict.fixest

Predict method for fixest fits

print.fixest

A print facility for fixest objects.

print.fixest_fitstat

Print method for fit statistics of fixest estimations

print.fixest_multi

Print method for fixest_multi objects

R2s of fixest models

rep.fixest

Replicates fixest objects

resid.fixest

Extracts residuals from a fixest object

resid.fixest_multi

Extracts the residuals from a fixest_multi object

sandwich_reexported

Functions exported from sandwich to implement fixest methods

setFixest_coefplot

Sets the defaults of coefplot

setFixest_dict

Sets/gets the dictionary relabeling the variables

setFixest_estimation

Default arguments for fixest estimations

setFixest_fml

Sets/gets formula macros

setFixest_notes

Sets/gets whether to display notes in fixest estimation functions

setFixest_nthreads

Sets/gets the number of threads to use in fixest functions

setFixest_vcov

Sets the default type of standard errors to be used

sigma.fixest

Residual standard deviation of fixest estimations

ssc

Governs the small sample correction in fixest VCOVs

stepwise

Stepwise estimation tools

style.df

Style of data.frames created by etable

style.tex

Style definitions for Latex tables

sub-.fixest_multi

Subset a fixest_multi object

sub-.fixest_panel

Method to subselect from a fixest_panel

sub-sub-.fixest_multi

Extracts one element from a fixest_multi object

summary.fixest

Summary of a fixest object. Computes different types of standard errors.

summary.fixest.fixef

Summary method for fixed-effects coefficients

summary.fixest.obs2remove

Summary method for fixest.obs2remove objects

summary.fixest_multi

Summary for fixest_multi objects

sunab

Sun and Abraham interactions

terms.fixest

Extract the terms

to_integer

Fast transform of any type of vector(s) into an integer vector

trade

Trade data sample

unpanel

Dissolves a fixest panel

update.fixest

Updates a fixest estimation

vcov.fixest

Computes the variance/covariance of a fixest object

vcov_cluster

Clustered VCOV

vcov_conley

Conley VCOV

vcov_hac

HAC VCOVs

wald

Wald test of nullity of coefficients

weights.fixest

Extracts the weights from a fixest object

xpd

Expands formula macros

fixest

Fast Fixed-Effects Estimations

v0.10.0

GPL-3

Authors

Laurent Berge [aut, cre], Sebastian Krantz [ctb], Grant McDermott [ctb] (<https://orcid.org/0000-0001-7883-8573>)

Initial release

fixest

Functions (87)

fixest

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