lfe: btrap – R documentation

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lfe

btrap

Bootstrap standard errors for the group fixed effects

Description

Bootstrap standard errors for the group fixed effects which were swept out during an estimation with felm.

Usage

btrap(
  alpha,
  obj,
  N = 100,
  ef = NULL,
  eps = getOption("lfe.eps"),
  threads = getOption("lfe.threads"),
  robust = FALSE,
  cluster = NULL,
  lhs = NULL
)

Arguments

`alpha`	data frame returned from `getfe`
`obj`	object of class `"felm"`, usually, a result of a call to `felm`
`N`	integer. The number of bootstrap iterations
`ef`	function. An estimable function such as in `getfe`. The default is to use the one used on `alpha`
`eps`	double. Tolerance for centering, as in getfe
`threads`	integer. The number of threads to use
`robust`	logical. Should heteroskedastic standard errors be estimated?
`cluster`	logical or factor. Estimate clustered standard errors.
`lhs`	character vector. Specify which left hand side if `obj` has multiple lhs.

Details

The bootstrapping is done in parallel if threads > 1. btrap is run automatically from getfe if se=TRUE is specified. To save some overhead, the individual iterations are grouped together, the memory available for this grouping is fetched with getOption('lfe.bootmem'), which is initialized upon loading of lfe to options(lfe.bootmem=500) (MB).

If robust=TRUE, heteroskedastic robust standard errors are estimated. If robust=FALSE and cluster=TRUE, clustered standard errors with the cluster specified to felm() are estimated. If cluster is a factor, it is used for the cluster definition. cluster may also be a list of factors.

Value

A data-frame of the same size as alpha is returned, with standard errors filled in.

Examples

oldopts <- options('lfe.threads')
options(lfe.threads=2)
## create covariates
x <- rnorm(3000)
x2 <- rnorm(length(x))

## create individual and firm
id <- factor(sample(700,length(x),replace=TRUE))
firm <- factor(sample(300,length(x),replace=TRUE))

## effects
id.eff <- rlnorm(nlevels(id))
firm.eff <- rexp(nlevels(firm))

## left hand side
y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + rnorm(length(x))

## estimate and print result
est <- felm(y ~ x+x2 | id + firm)
summary(est)
## extract the group effects
alpha <- getfe(est)
head(alpha)
## bootstrap standard errors
head(btrap(alpha,est))

## bootstrap some differences
ef <- function(v,addnames) {
  w <- c(v[2]-v[1],v[3]-v[2],v[3]-v[1])
  if(addnames) {
     names(w) <-c('id2-id1','id3-id2','id3-id1')
     attr(w,'extra') <- list(note=c('line1','line2','line3'))
  }
  w
}
# check that it's estimable
is.estimable(ef,est$fe)

head(btrap(alpha,est,ef=ef))
options(oldopts)

lfe

Linear Group Fixed Effects

v2.8-6

Artistic-2.0

Authors

Simen Gaure [aut] (<https://orcid.org/0000-0001-7251-8747>), Grant McDermott [ctb], Karl Dunkle Werner [ctb], Matthieu Stigler [ctb, cre] (<https://orcid.org/0000-0002-6802-4290>), Daniel Lüdecke [ctb]

Initial release

2021-01-04