Package: fixest 0.12.2

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://github.com/lrberge/fixest/blob/master/_DOCS/FENmlm_paper.pdf>. Further provides tools to export and view the results of several estimations with intuitive design to cluster the standard-errors.

Authors:Laurent Berge [aut, cre], Sebastian Krantz [ctb], Grant McDermott [ctb], Russell Lenth [ctb]

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fixest.pdf |fixest.html✨
fixest/json (API)
NEWS

# Install 'fixest' in R:
install.packages('fixest', repos = c('https://lrberge.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/lrberge/fixest/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • base_did - Sample data for difference in difference
  • base_pub - Publication data sample
  • base_stagg - Sample data for staggered difference in difference
  • trade - Trade data sample

On CRAN:

14.81 score 379 stars 25 packages 3.8k scripts 18k downloads 1 mentions 91 exports 9 dependencies

Last updated 3 months agofrom:5523d48ef4. Checks:OK: 1 WARNING: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 27 2024
R-4.5-win-x86_64WARNINGOct 27 2024
R-4.5-linux-x86_64WARNINGOct 27 2024
R-4.4-win-x86_64WARNINGOct 27 2024
R-4.4-mac-x86_64WARNINGOct 27 2024
R-4.4-mac-aarch64WARNINGOct 27 2024
R-4.3-win-x86_64WARNINGOct 27 2024
R-4.3-mac-x86_64WARNINGOct 27 2024
R-4.3-mac-aarch64WARNINGOct 27 2024

Exports:.las.dictbinbreadcheck_conv_feolscoefplotcoeftablecollinearityconleyddegrees_freedomdemeandemeaning_algodid_meansDKdofdriscoll_kraaydsbest_envestfunesttableesttexetableextralines_registerffdimfeglmfeglm.fitfemlmfenegbinfeNmlmfeolsfeols.fitfepoisfitstatfitstat_registerfixeffixest_datafixest_startup_msggetFixest_coefplotgetFixest_dictgetFixest_estimationgetFixest_etablegetFixest_fmlgetFixest_multigetFixest_notesgetFixest_nthreadsgetFixest_printgetFixest_sscgetFixest_vcoviiplotllag_fmllog_etablemodelsn_modelsn_uniknewey_westNWobsosizepanelpvaluer2refsample_dfsesetFixest_coefplotsetFixest_dictsetFixest_estimationsetFixest_etablesetFixest_fmlsetFixest_multisetFixest_notessetFixest_nthreadssetFixest_printsetFixest_sscsetFixest_vcovsscstyle.dfstyle.texto_integertstatunpanelvcov_clustervcov_conleyvcov_DKvcov_NWwaldxpd

Dependencies:dreamerrFormulalatticenlmenumDerivRcppsandwichstringmagiczoo

Exporting estimation tables

Laurent Berge

Rendered fromexporting_tables.Rmdusingknitr::rmarkdownon Oct 27 2024.

Last update: 2023-09-08
Started: 2020-07-10

Fast Fixed-Effects Estimation: Short Introduction

Laurent Berge and Grant McDermott

Rendered fromfixest_walkthrough.Rmdusingknitr::rmarkdownon Oct 27 2024.

Last update: 2024-08-16
Started: 2019-08-02

Multiple estimations

Laurent Berge

Rendered frommultiple_estimations.Rmdusingknitr::rmarkdownon Oct 27 2024.

Last update: 2023-09-08
Started: 2020-12-09

On standard-errors

Laurent Berge

Rendered fromstandard_errors.Rmdusingknitr::rmarkdownon Oct 27 2024.

Last update: 2023-11-23
Started: 2020-07-04

Readme and manuals

Help Manual

Help pageTopics
Subsets a fixest_multi object[.fixest_multi
Method to subselect from a 'fixest_panel'[.fixest_panel
Extracts one element from a 'fixest_multi' object[[.fixest_multi
Aggregates the values of DiD coefficients a la Sun and Abrahamaggregate.fixest
Aikake's an information criterionAIC.fixest
Transforms a character string into a dictionaryas.dict
Transforms a fixest_multi object into a listas.list.fixest_multi
Sample data for difference in differencebase_did
Publication data samplebase_pub
Sample data for staggered difference in differencebase_stagg
Bayesian information criterionBIC.fixest
Bins the values of a variable (typically a factor)bin
Extracts the bread matrix from fixest objectsbread.fixest
Check the fixed-effects convergence of a 'feols' estimationcheck_conv_feols summary.fixest_check_conv
Extracts the coefficients from a 'fixest' estimationcoef.fixest coefficients.fixest
Extracts the coefficients of fixest_multi objectscoef.fixest_multi coefficients.fixest_multi
Plots confidence intervals and point estimatescoefplot iplot
Extracts the coefficients table from an estimationcoeftable pvalue se tstat
Extracts the coefficients table from an estimationcoeftable.default pvalue.default se.default se.matrix tstat.default
Obtain various statistics from an estimationcoeftable.fixest pvalue.fixest se.fixest tstat.fixest
Extracts the coefficients tables from 'fixest_multi' estimationscoeftable.fixest_multi pvalue.fixest_multi se.fixest_multi tstat.fixest_multi
Collinearity diagnostics for 'fixest' objectscollinearity
Confidence interval for parameters estimated with 'fixest'confint.fixest
Confidence intervals for 'fixest_multi' objectsconfint.fixest_multi
Gets the degrees of freedom of a 'fixest' estimationdegrees_freedom degrees_freedom_iid
Centers a set of variables around a set of factorsdemean
Controls the parameters of the demeaning proceduredemeaning_algo
Extracts the deviance of a fixest estimationdeviance.fixest
Residual degrees-of-freedom for 'fixest' objectsdf.residual.fixest
Treated and control sample descriptivesdid_means
Simple and powerful string manipulation with the dot square bracket operatordsb
Support for emmeans packageemmeans_support
Estimates a 'fixest' estimation from a 'fixest' environmentest_env
Extracts the scores from a fixest estimationestfun.fixest
Estimations table (export the results of multiples estimations to a DF or to Latex)esttable esttex etable getFixest_etable log_etable print.etable_df print.etable_tex setFixest_etable
Register 'extralines' macros to be used in 'etable'extralines_register
Lags a variable in a 'fixest' estimationd f l
Formatted dimensionfdim
Fixed-effects GLM estimationsfeglm feglm.fit fepois
Fixed-effects maximum likelihood modelsfemlm fenegbin
Fixed effects nonlinear maximum likelihood modelsfeNmlm
Fixed-effects OLS estimationfeols feols.fit
Computes fit statistics of fixest objectsfitstat
Register custom fit statisticsfitstat_register
Extracts fitted values from a 'fixest' fitfitted.fixest fitted.values.fixest
Extract the Fixed-Effects from a 'fixest' estimation.fixef.fixest
Retrieves the data set used for a 'fixest' estimationfixest_data
Permanently removes the fixest package startup messagefixest_startup_msg
Extract the formula of a 'fixest' fitformula.fixest
Hat values for 'fixest' objectshatvalues.fixest
Create, or interact variables with, factorsi
Lags a variable using a formulalag.formula lag_fml
Extracts the log-likelihoodlogLik.fixest
Design matrix of a 'fixest' objectmodel.matrix.fixest
Extracts the models tree from a 'fixest_multi' objectmodels
Gets the dimension of 'fixest_multi' objectsn_models
Prints the number of unique elements in a data setn_unik print.list_n_unik print.vec_n_unik
Extracts the number of observations form a 'fixest' objectnobs.fixest
Extracts the observations used for the estimationobs
Formatted object sizeosize print.osize
Constructs a 'fixest' panel data basepanel
Displaying the most notable fixed-effectsplot.fixest.fixef
Predict method for 'fixest' fitspredict.fixest
A print facility for 'fixest' objects.getFixest_print print.fixest setFixest_print
Print method for fit statistics of fixest estimationsprint.fixest_fitstat
Print method for fixest_multi objectsprint.fixest_multi
R2s of 'fixest' modelsr2
Refactors a variableref
Replicates 'fixest' objects.l rep.fixest rep.fixest_list
Extracts residuals from a 'fixest' objectresid.fixest residuals.fixest
Extracts the residuals from a 'fixest_multi' objectresid.fixest_multi residuals.fixest_multi
Randomly draws observations from a data setsample_df
Sets the defaults of coefplotgetFixest_coefplot setFixest_coefplot
Sets/gets the dictionary relabeling the variablesgetFixest_dict setFixest_dict
Default arguments for fixest estimationsgetFixest_estimation setFixest_estimation
Sets/gets formula macrosgetFixest_fml setFixest_fml
Sets properties of 'fixest_multi' objectsgetFixest_multi setFixest_multi
Sets/gets whether to display notes in 'fixest' estimation functionsgetFixest_notes setFixest_notes
Sets/gets the number of threads to use in 'fixest' functionsgetFixest_nthreads setFixest_nthreads
Sets the default type of standard errors to be usedgetFixest_vcov setFixest_vcov
Residual standard deviation of 'fixest' estimationssigma.fixest
Governs the small sample correction in 'fixest' VCOVsdof getFixest_ssc setFixest_ssc ssc
Stepwise estimation toolscsw csw0 mvsw stepwise sw sw0
Style of data.frames created by etablestyle.df
Style definitions for Latex tablesstyle.tex
Summary of a 'fixest' object. Computes different types of standard errors.summary.fixest summary.fixest_list
Summary for fixest_multi objectssummary.fixest_multi
Summary method for fixed-effects coefficientssummary.fixest.fixef
Sun and Abraham interactionssunab sunab_att
Extract the termsterms.fixest
Fast transform of any type of vector(s) into an integer vectorto_integer
Trade data sampletrade
Dissolves a 'fixest' panelunpanel
Updates a 'fixest' estimationupdate.fixest update.fixest_multi
Clustered VCOVvcov_cluster
Conley VCOVconley vcov_conley
HAC VCOVsDK driscoll_kraay newey_west NW vcov_DK vcov_hac vcov_NW
Computes the variance/covariance of a 'fixest' objectvcov.fixest
Wald test of nullity of coefficientswald
Extracts the weights from a 'fixest' objectweights.fixest
Expands formula macrosxpd