Hi everyone,
I am running this fixed effects model in R.
The thing is, my own code and the canned routine keep returning different
estimates for the fixed effects factors and intercept.
(The other variables' estimates and R^2 are the same!!! weird!!)
I attach my own code, just in case.
I am pretty sure this would not have any fundamental error. Well, hopefully. I
have been using this code for a while..)
And does anyone know how I can include another fixed effect into this code? :(
Any help will be deeply appreciated....
feols = function(y,X,id) {
n = length(y);
uniq_id = unique(id);
n_id = length(uniq_id);
dummy = matrix(rep(0,n*(n_id-1)),nrow=n);
for (i in 1:(n_id-1))
dummy[id==uniq_id[i],i] = 1;
X = cbind(rep(1,n),X,dummy);
k = ncol(X);
invXX = solve(t(X) %*% X);
b = as.numeric(invXX %*% (t(X) %*% y));
res = y - X%*%b;
s2 = as.numeric(t(res) %*% res /(n-k));
omega = as.numeric(s2) * invXX;
se = sqrt(diag(omega));
dev = y - mean(y);
r2 = 1 - as.numeric(t(res)%*%res)/as.numeric(t(dev) %*% dev);
t = b/se;
list(b=b,se=se,t=t,r2=r2,s2=s2,omega=omega,res=res);
}
B
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