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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,241 @@ | ||
| #' @templateVar class felm | ||
| #' @template title_desc_tidy | ||
| #' | ||
| #' @param x A `felm` object returned from [lfe::felm()]. | ||
| #' @template param_confint | ||
| #' @param fe Logical indicating whether or not to include estimates of | ||
| #' fixed effects. Defaults to `FALSE`. | ||
| #' @param se.type Character indicating the type of standard errors. Defaults to | ||
| #' using those of the underlying felm() model object, e.g. clustered errors | ||
| #' for models that were provided a cluster specification. Users can override | ||
| #' these defaults by specifying an appropriate alternative: "iid" (for | ||
| #' homoskedastic errors), "robust" (for Eicker-Huber-White robust errors), or | ||
| #' "cluster" (for clustered standard errors; if the model object supports it). | ||
| #' @template param_unused_dots | ||
| #' | ||
| #' @evalRd return_tidy(regression = TRUE) | ||
| #' | ||
| #' @examples | ||
| #' | ||
| #' library(lfe) | ||
| #' | ||
| #' # Use built-in "airquality" dataset | ||
| #' head(airquality) | ||
| #' | ||
| #' # No FEs; same as lm() | ||
| #' est0 <- felm(Ozone ~ Temp + Wind + Solar.R, airquality) | ||
| #' tidy(est0) | ||
| #' augment(est0) | ||
| #' | ||
| #' # Add month fixed effects | ||
| #' est1 <- felm(Ozone ~ Temp + Wind + Solar.R | Month, airquality) | ||
| #' tidy(est1) | ||
| #' tidy(est1, fe = TRUE) | ||
| #' augment(est1) | ||
| #' glance(est1) | ||
| #' | ||
| #' # The "se.type" argument can be used to switch out different standard errors | ||
| #' # types on the fly. In turn, this can be useful exploring the effect of | ||
| #' # different error structures on model inference. | ||
| #' tidy(est1, se.type = "iid") | ||
| #' tidy(est1, se.type = "robust") | ||
| #' | ||
| #' # Add clustered SEs (also by month) | ||
| #' est2 <- felm(Ozone ~ Temp + Wind + Solar.R | Month | 0 | Month, airquality) | ||
| #' tidy(est2, conf.int = TRUE) | ||
| #' tidy(est2, conf.int = TRUE, se.type = "cluster") | ||
| #' tidy(est2, conf.int = TRUE, se.type = "robust") | ||
| #' tidy(est2, conf.int = TRUE, se.type = "iid") | ||
| #' @export | ||
| #' @aliases felm_tidiers lfe_tidiers | ||
| #' @family felm tidiers | ||
| #' @seealso [tidy()], [lfe::felm()] | ||
| tidy.felm <- function(x, conf.int = FALSE, conf.level = .95, fe = FALSE, se.type = c("default", "iid", "robust", "cluster"), ...) { | ||
| has_multi_response <- length(x$lhs) > 1 | ||
|
|
||
| # warn users about deprecated "robust" argument | ||
| dots <- list(...) | ||
| if (!is.null(dots$robust)) { | ||
| warning('\nThe "robust" argument has been deprecated in tidy.felm and will be ignored. Please use the "se.type" argument instead.\n') | ||
| } | ||
|
|
||
| # match SE args | ||
| se.type <- match.arg(se.type) | ||
| if (se.type == "default") { | ||
| se.type <- NULL | ||
| } | ||
|
|
||
| # get "robust" logical to pass on to summary.lfe | ||
| if (is.null(se.type)) { | ||
| robust <- !is.null(x$clustervar) | ||
| } else if (se.type == 'iid') { | ||
| robust <- FALSE | ||
| } else { | ||
| # catch potential user error, asking for clusters where none exist | ||
| if (se.type == "cluster" && is.null(x$clustervar)) { | ||
| warning("Clustered SEs requested, but weren't calculated in underlying model object. Reverting to default SEs.\n") | ||
| se.type <- NULL | ||
| } | ||
|
|
||
| robust <- TRUE | ||
| } | ||
|
|
||
| nn <- c("estimate", "std.error", "statistic", "p.value") | ||
| if (has_multi_response) { | ||
| ret <- map_df(x$lhs, function(y) { | ||
| stats::coef(summary(x, lhs = y, robust = robust)) %>% | ||
| as_tidy_tibble(new_names = nn) %>% | ||
| mutate(response = y) | ||
| }) %>% | ||
| select(response, dplyr::everything()) | ||
| } else { | ||
| ret <- as_tidy_tibble( | ||
| stats::coef(summary(x, robust = robust)), | ||
| new_names = nn | ||
| ) | ||
| } | ||
|
|
||
| # Catch edge case where users specify "robust" SEs on felm() object that | ||
| # contains clusters. Reason: Somewhat confusingly, summary.felm(robust = TRUE) | ||
| # reports clustered SEs even though robust SEs are available. In contrast, | ||
| # confint.felm distinguishes between robust and clustered SEs regardless | ||
| # of the underlying model. See also: https://github.com/sgaure/lfe/pull/17/files | ||
| if (!is.null(se.type)) { | ||
| if (se.type == "robust" && !is.null(x$clustervar)) { | ||
| ret$std.error <- x$rse | ||
| ret$statistic <- x$rtval | ||
| ret$p.value <- x$rpval | ||
| } | ||
| } | ||
|
|
||
|
|
||
| if (conf.int) { | ||
| if (has_multi_response) { | ||
| ci <- map_df(x$lhs, function(y) { | ||
| broom_confint_terms(x, level = conf.level, type = NULL, lhs = y) | ||
| }) | ||
| } else { | ||
| ci <- broom_confint_terms(x, level = conf.level, type = se.type) | ||
| } | ||
| ret <- dplyr::left_join(ret, ci, by = "term") | ||
| } | ||
|
|
||
| if (fe) { | ||
| ret <- mutate(ret, N = NA, comp = NA) | ||
|
|
||
| nn <- c("estimate", "std.error", "N", "comp") | ||
| ret_fe_prep <- lfe::getfe(x, se = TRUE, bN = 100) %>% | ||
| tibble::rownames_to_column(var = "term") %>% | ||
| # effect and se are multiple if multiple y | ||
| select(term, contains("effect"), contains("se"), obs, comp) %>% | ||
| rename(N = obs) | ||
|
|
||
| if (has_multi_response) { | ||
| ret_fe_prep <- ret_fe_prep %>% | ||
| tidyr::pivot_longer( | ||
| cols = c( | ||
| starts_with("effect."), | ||
| starts_with("se.") | ||
| ), | ||
| names_to = "stat_resp", | ||
| values_to = "value" | ||
| ) %>% | ||
| tidyr::separate( | ||
| col = "stat_resp", | ||
| c("stat", "response"), | ||
| sep = "\\." | ||
| ) %>% | ||
| tidyr::pivot_wider( | ||
| id_cols = c(term, N, comp, response), | ||
| names_from = stat, | ||
| values_from = value | ||
| ) %>% | ||
| dplyr::arrange(term) %>% | ||
| as.data.frame() | ||
| } | ||
| ret_fe <- ret_fe_prep %>% | ||
| rename(estimate = effect, std.error = se) %>% | ||
| select(contains("response"), dplyr::everything()) %>% | ||
| mutate(statistic = estimate / std.error) %>% | ||
| mutate(p.value = 2 * (1 - stats::pt(statistic, df = N))) | ||
|
|
||
| if (conf.int) { | ||
| crit_val_low <- stats::qnorm(1 - (1 - conf.level) / 2) | ||
| crit_val_high <- stats::qnorm(1 - (1 - conf.level) / 2) | ||
|
|
||
| ret_fe <- ret_fe %>% | ||
| mutate( | ||
| conf.low = estimate - crit_val_low * std.error, | ||
| conf.high = estimate + crit_val_high * std.error | ||
| ) | ||
| } | ||
| ret <- rbind(ret, ret_fe) | ||
| } | ||
| as_tibble(ret) | ||
| } | ||
|
|
||
| #' @templateVar class felm | ||
| #' @template title_desc_augment | ||
| #' | ||
| #' @inherit tidy.felm params examples | ||
| #' @template param_data | ||
| #' | ||
| #' @evalRd return_augment() | ||
| #' | ||
| #' @export | ||
| #' @family felm tidiers | ||
| #' @seealso [augment()], [lfe::felm()] | ||
| augment.felm <- function(x, data = model.frame(x), ...) { | ||
| has_multi_response <- length(x$lhs) > 1 | ||
|
|
||
| if (has_multi_response) { | ||
| stop( | ||
| "Augment does not support linear models with multiple responses.", | ||
| call. = FALSE | ||
| ) | ||
| } | ||
| df <- as_augment_tibble(data) | ||
| mutate(df, .fitted = as.vector(x$fitted.values), .resid = as.vector(x$residuals)) | ||
| } | ||
|
|
||
| #' @templateVar class felm | ||
| #' @template title_desc_glance | ||
| #' | ||
| #' @inherit tidy.felm params examples | ||
| #' | ||
| #' @evalRd return_glance( | ||
| #' "r.squared", | ||
| #' "adj.r.squared", | ||
| #' "sigma", | ||
| #' "statistic", | ||
| #' "p.value", | ||
| #' "df", | ||
| #' "df.residual", | ||
| #' "nobs" | ||
| #' ) | ||
| #' | ||
| #' @export | ||
| glance.felm <- function(x, ...) { | ||
| has_multi_response <- length(x$lhs) > 1 | ||
|
|
||
| if (has_multi_response) { | ||
| stop( | ||
| "Glance does not support linear models with multiple responses.", | ||
| call. = FALSE | ||
| ) | ||
| } | ||
|
|
||
| s <- summary(x) | ||
|
|
||
| as_glance_tibble( | ||
| r.squared = s$r2, | ||
| adj.r.squared = s$r2adj, | ||
| sigma = s$rse, | ||
| statistic = s$fstat, | ||
| p.value = unname(s$pval), | ||
| df = s$df[1], | ||
| df.residual = s$rdf, | ||
| nobs = stats::nobs(x), | ||
| na_types = "rrrrriii" | ||
| ) | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
|
|
@@ -540,6 +540,7 @@ globalVariables( | |
| "expCIWidth", | ||
| "fit", | ||
| "GCV", | ||
| "group", | ||
| "group1", | ||
| "group2", | ||
| "hat", | ||
|
|
||
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