fixest: fitted.fixest – R documentation

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fitted.fixest

Extracts fitted values from a fixest fit

Description

This function extracts the fitted values from a model estimated with femlm, feols or feglm. The fitted values that are returned are the expected predictor.

Usage

## S3 method for class 'fixest'
fitted(object, type = c("response", "link"), na.rm = TRUE, ...)

## S3 method for class 'fixest'
fitted.values(object, type = c("response", "link"), na.rm = TRUE, ...)

Arguments

`object`	A `fixest` object. Obtained using the functions `femlm`, `feols` or `feglm`.
`type`	Character either equal to `"response"` (default) or `"link"`. If `type="response"`, then the output is at the level of the response variable, i.e. it is the expected predictor E(Y\|X). If `"link"`, then the output is at the level of the explanatory variables, i.e. the linear predictor X\cdot β.
`na.rm`	Logical, default is `TRUE`. If `FALSE` the number of observation returned will be the number of observations in the original data set, otherwise it will be the number of observations used in the estimation.
`...`	Not currently used.

Details

This function returns the expected predictor of a fixest fit. The likelihood functions are detailed in femlm help page.

Value

It returns a numeric vector of length the number of observations used to estimate the model.

If type = "response", the value returned is the expected predictor, i.e. the expected value of the dependent variable for the fitted model: E(Y|X). If type = "link", the value returned is the linear predictor of the fitted model, that is X\cdot β (remind that E(Y|X) = f(X\cdot β)).

Author(s)

Laurent Berge

Examples

# simple estimation on iris data, using "Species" fixed-effects
res_poisson = femlm(Sepal.Length ~ Sepal.Width + Petal.Length +
                    Petal.Width | Species, iris)

# we extract the fitted values
y_fitted_poisson = fitted(res_poisson)

# Same estimation but in OLS (Gaussian family)
res_gaussian = femlm(Sepal.Length ~ Sepal.Width + Petal.Length +
                    Petal.Width | Species, iris, family = "gaussian")

y_fitted_gaussian = fitted(res_gaussian)

# comparison of the fit for the two families
plot(iris$Sepal.Length, y_fitted_poisson)
points(iris$Sepal.Length, y_fitted_gaussian, col = 2, pch = 2)

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