Dear list users,
When calculating a panel data regression with multiple fixed effects
using the function felm() from the lfe package, no constant term (i.e.
intercept) is generated in the summary results.
In an old post on stackoverflow [1], someone suggested that it is
possible to retrieve the value of the intercept by using the function
lfe::getfe, setting the field "ef" equal to "zm2".
However, I get different results when comparing the value of the
intercept calculated by the function lm, with that obtained with the
function lfe::getfe.
Here's a reproducible example:
library(lfe)
# set seed for reproducible example
set.seed(123)
## generate independent variables
x <- rnorm(4000)
x2 <- rnorm(length(x))
## create individual and firm ids
id <- factor(sample(500,length(x),replace=TRUE))
firm <- factor(sample(300,length(x),replace=TRUE))
## generate dependent variable
id.eff <- rlnorm(nlevels(id))
firm.eff <- rexp(nlevels(firm))
y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + rnorm(length(x))
## estimate results
est <- felm(y ~ x + x2 | id + firm)
est2 <- lm(y ~ x + x2 + id + firm)
## Compare estimates
coef(est)
# x x2
# 1.017696 0.246784
coef(est2)[2:3]
# x x2
# 1.017696 0.246784
# estimate fixed effects
fe_est <- getfe(est, ef = "zm2")
## Compare intercept
fe_est[grepl("icpt", rownames(fe_est)), ]
# effect obs comp
# icpt.1 2.583704 4000 1
coef(est2)[1]
# (Intercept)
# 7.312307
I am wondering if anyone can explain this difference.
Also, I would like to know if it is possible to obtain a reliable
approximation of the value of the intercept estimated by lm using
lfe::getfe.
Best,
Valerio
P.s.Observe that 3 weeks ago I have posted this question on
stackoverflow [2] but no one answered.
[1]
https://stackoverflow.com/questions/49351201/fixed-effects-regression-constant-intercept-using-lfe-felm-in-r
[2]
https://stackoverflow.com/questions/62497705/estimate-of-constant-term-using-r-felmlfe-package-and-differences-with-stats
Valerio Leone Sciabolazza, Ph.D.
Department of Business and Economics
University of Naples, Parthenope.
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