Confidence intervals for fixest_multi objects — confint.fixest

Computes the confidence intervals of parameter estimates for fixest's multiple estimation objects (aka fixest_multi).

Usage

# S3 method for fixest_multi
confint(
  object,
  parm,
  level = 0.95,
  vcov = NULL,
  se = NULL,
  cluster = NULL,
  ssc = NULL,
  ...
)

Arguments

object: A fixest_multi object obtained from a multiple estimation in fixest.
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 degree of freedom correction should be done.You must use the function ssc for this argument. The arguments and defaults of the function ssc are: adj = TRUE, fixef.K="nested", cluster.adj = TRUE, cluster.df = "min", t.df = "min", fixef.force_exact=FALSE). See the help of the function ssc for details.
...: Not currently used.

Value

It returns a data frame whose first columns indicate which model has been estimated. The last three columns indicate the coefficient name, and the lower and upper confidence intervals.

Examples


base = setNames(iris, c("y", "x1", "x2", "x3", "species"))
est = feols(y ~ csw(x.[,1:3]) | sw0(species), base, vcov = "iid")

confint(est)
#>    id   fixef          rhs coefficient      2.5 %      97.5 %
#> 1   1       1           x1 (Intercept)  5.5798647  7.47258038
#> 2   1       1           x1          x1 -0.5298200  0.08309785
#> 3   2       1      x1 + x2 (Intercept)  1.7590943  2.73918600
#> 4   2       1      x1 + x2          x1  0.4585161  0.73253337
#> 5   2       1      x1 + x2          x2  0.4380915  0.50574857
#> 6   3       1 x1 + x2 + x3 (Intercept)  1.3603752  2.35161975
#> 7   3       1 x1 + x2 + x3          x1  0.5191189  0.78255545
#> 8   3       1 x1 + x2 + x3          x2  0.5970350  0.82122888
#> 9   3       1 x1 + x2 + x3          x3 -0.8085615 -0.30440382
#> 10  4 species           x1          x1  0.5933983  1.01372348
#> 11  5 species      x1 + x2          x1  0.2713535  0.59308089
#> 12  5 species      x1 + x2          x2  0.6486505  0.90260841
#> 13  6 species x1 + x2 + x3          x1  0.3257653  0.66601260
#> 14  6 species x1 + x2 + x3          x2  0.6937939  0.96469395
#> 15  6 species x1 + x2 + x3          x3 -0.6140049 -0.01630542

# focusing only on the coefficient 'x3'
confint(est, "x3")
#>   id   fixef          rhs coefficient      2.5 %      97.5 %
#> 1  3       1 x1 + x2 + x3          x3 -0.8085615 -0.30440382
#> 2  6 species x1 + x2 + x3          x3 -0.6140049 -0.01630542

# the 'id' provides the index of the estimation
est[c(3, 6)]
#> Standard-errors: IID 
#> Expl. vars.: x1 + x2 + x3
#> Fixed-effects: 1
#>              Estimate Std. Error  t value   Pr(>|t|)    
#> (Intercept)  1.855997   0.250777  7.40098 9.8539e-12 ***
#> x1           0.650837   0.066647  9.76538  < 2.2e-16 ***
#> x2           0.709132   0.056719 12.50248  < 2.2e-16 ***
#> x3          -0.556483   0.127548 -4.36293 2.4129e-05 ***
#> ---
#> Fixed-effects: species
#>     Estimate Std. Error  t value   Pr(>|t|)    
#> x1  0.495889   0.086070  5.76147 4.8675e-08 ***
#> x2  0.829244   0.068528 12.10087  < 2.2e-16 ***
#> x3 -0.315155   0.151196 -2.08442 3.8888e-02 *