Confidence interval for parameters estimated with fixest

This function computes the confidence interval of parameter estimates obtained from a model estimated with femlm, feols or feglm.

Usage

# S3 method for class 'fixest'
confint(
  object,
  parm,
  level = 0.95,
  vcov,
  se,
  cluster,
  ssc = NULL,
  coef.col = FALSE,
  ...
)

Arguments

object: A fixest object. Obtained using the functions femlm, feols or feglm.
parm: The parameters for which to compute the confidence interval (either an integer vector OR a character vector with the parameter name). If missing, all parameters are used.
level: The confidence level. Default is 0.95.
vcov: Versatile argument to specify the VCOV. In general, it is either a character scalar equal to a VCOV type, either a formula of the form: vcov_type ~ variables. The VCOV types implemented are: "iid", "hetero" (or "HC1"), "cluster", "twoway", "NW" (or "newey_west"), "DK" (or "driscoll_kraay"), and "conley". It also accepts object from vcov_cluster, vcov_NW, NW, vcov_DK, DK, vcov_conley and conley. It also accepts covariance matrices computed externally. Finally it accepts functions to compute the covariances. See the vcov documentation in the vignette.
se: Character scalar. Which kind of standard error should be computed: “standard”, “hetero”, “cluster”, “twoway”, “threeway” or “fourway”? By default if there are clusters in the estimation: se = "cluster", otherwise se = "iid". Note that this argument is deprecated, you should use vcov instead.
cluster: Tells how to cluster the standard-errors (if clustering is requested). Can be either a list of vectors, a character vector of variable names, a formula or an integer vector. Assume we want to perform 2-way clustering over var1 and var2 contained in the data.frame base used for the estimation. All the following cluster arguments are valid and do the same thing: cluster = base[, c("var1", "var2")], cluster = c("var1", "var2"), cluster = ~var1+var2. If the two variables were used as fixed-effects in the estimation, you can leave it blank with vcov = "twoway" (assuming var1 [resp. var2] was the 1st [resp. 2nd] fixed-effect). You can interact two variables using ^ with the following syntax: cluster = ~var1^var2 or cluster = "var1^var2".
ssc: An object of class ssc_type obtained with the function ssc. Represents how the small sample correction should be done. You must use the function ssc for this argument. The arguments and defaults of the function ssc are: K.adj = TRUE, K.fixef = "nonnested", G.adj = TRUE, G.df = "min", t.df = "min", K.exact = FALSE). See the help of the function ssc for details. Not all VCOV types are affected by this argument.
coef.col: Logical, default is FALSE. If TRUE the column coefficient is inserted in the first position containing the coefficient names.
...: Not currently used.

Value

Returns a data.frame with two columns giving respectively the lower and upper bound of the confidence interval. There is as many rows as parameters.

Author

Laurent Berge

Examples


# Load trade data
data(trade)

# We estimate the effect of distance on trade (with 3 fixed-effects)
est_pois = femlm(Euros ~ log(dist_km) + log(Year) | Origin + Destination +
                 Product, trade)

# confidence interval with "normal" VCOV
confint(est_pois)
#>                  2.5 %    97.5 %
#> log(dist_km) -1.527871 -1.527864
#> log(Year)    72.619217 72.621215

# confidence interval with "clustered" VCOV (w.r.t. the Origin factor)
confint(est_pois, se = "cluster")
#>                  2.5 %    97.5 %
#> log(dist_km) -1.754564 -1.301171
#> log(Year)    58.934594 86.305838