`fixest`

In

`vcov`

, the degree-of-freedom in the small sample correction correction was fixed to “nested” and couldn’t be modified, now corrected. Further, “nested” was not properly accounted for, now corrected.In

`etable`

,`fitsat = FALSE`

or`fitsat = NA`

led to a bug.`r2`

: bug when the estimation contained only fixed effects (thanks to Luis Fonseca #27).Now the

`BIC`

of`feglm`

is similar to the one of`glm`

.Bug in the log-likelihood in the presence of weights, now corrected.

Bug in

`coefplot`

when some interacted variables were removed because of collinearity. Now corrected.

On standard-errors: how are the SEs computed in fixest and how to replicate the SEs from other software.

Exporting estimation tables: how to use efficiently

`etable`

, in particular how to customize the tables.

New arguments:

`group`

,`extraline`

,`notes`

,`tablefoot`

.`group`

allows to eliminate variables (like`drop`

) and adds an extra line with TRUE/FALSE if the model contained those variables.`extraline`

allows to add extra lines with any content.`notes`

allows to add notes after the table (suggestion by @bgchamps #25).`tablefoot`

controls whether the table footer, containing the type of standard-errors and the significance codes, should be displayed.

Renaming:

`yesNoFixef`

=>`yesNo`

.Most default values can be set globally with the new function

`setFixest_etable`

.

- Function
`dof`

, used to adjust the small sample corrections, is now much more complete and allows to replicate a large set of estimation results from alternative software.

You can now provide custom VCOVs to summary by using the argument

`.vcov`

.A warning is now prompted when the maximum number of iterations of the algorithm is reached (suggestion by @clukewatson #24]).

The types of standard-errors can now be set globally with the function

`setFixest_se`

(suggestion by @dlindzee #28)New

`feols`

argument`demeaned`

. If`TRUE`

, then the centered variables are returned (`y_demeaned`

and`X_demeaned`

). (Suggestion by Linus Holtermann.)`interact`

gains two new arguments:`drop`

and`keep`

(suggestion by @SuperMayo #23).

`hatvalues`

has been implemented for feols and feglm estimations.the

`estfun`

from`sandwich`

has been implemented.

- Fixed bug introduced in the previous update (memory access error). Does not affect any of the results but could lead R to crash unexpectedly (odds were low though since access was adjacent).

- Fix image link to the equation in the README.md.
- Fix bug R2 and logLik when observations were removed because of NA values. Due to the update in
`residuals.fixest`

.

- Rewriting of the internal algorithm computing the VCOV. 1) About 30% performance gain for estimations with many variables. 2) The code is much less memory hungry.

`etable`

- New argument
`style`

which allows to set many elements of the output table. - (minor)
`signifCode`

can be equal to`"letters"`

to display letters instead of stars.

`setFixest_nthreads`

now respects the`OMP_THREAD_LIMIT`

environment variable.- Rd links are now made to the proper htlm files.

- Bug with estimations with varying slopes if the fixed-effect relative to the slope is not in its decreasing order (thanks to Davide Proserpio).
- Bug when interacting two variables with the
`var::fe`

syntax with`confirm = TRUE`

and no reference. - Bug in
`etable`

when the standard-errors where`NA`

. - Fixed very minor bug when computing the SEs (1e-6 difference).
- Standard-errors in
`feglm`

for non-poisson, non-binomial families, are now correct (minor differences). `fixef`

did not work when the slope was an integer, now corrected (thanks to @clerousset #20).

- You can use macros in formulas.
- To set a macro variable, use e.g.,
`setFixest_fml(..ctrl = ~ var1 + var2)`

. Here the macro variable`..ctrl`

has been set to the value`"var1 + var2"`

. - Now you can use this macro variable in any
`fixest`

estimation: e.g.`data(airquality) ; setFixest_fml(..ctrl = ~ Temp + Day) ; feols(Ozone ~ Wind + ..ctrl, airquality)`

. - You can use macros in non-fixest estimations with
`xpd`

, which expands formulas. E.g.`lm(xpd(Ozone ~ Wind + ..ctrl), airquality)`

.

`to_integer`

: user-level version of the internal algorithm transforming any kind of vector (or combination of vectors) into an integer ranging from 1 to the number of unique elements of the vector. Very fast.`demean`

: user-level version of the demeaning algorithm used in`feols`

.

New internal algorithm to estimate OLS (applies to both

`feols`

and`feglm`

):It is numerically more stable.

Incomparably faster when factors are to be estimated (and not explicitly used as fixed-effects).

Collinear variables are removed on the fly.

- Interactions in
`var::fe(ref)`

now accept multiple references (i.e.`ref`

can be a vector). - In
`etable`

, the variable names of non-Latex output can now be changed. - You can use the argument
`n`

when applying summary to choose the number of coefficients to display. - Argument
`confirm`

has been removed from the function`interact`

. `r2`

allows more flexibility in the keywords it accepts.- Function
`dof`

gains a new argument`adj`

which allows to make different types of common small sample corrections. Its other arguments have been renamed for clarity (`fixef`

=>`fixef.K`

,`exact`

=>`fixef.exact`

,`cluster`

=>`cluster.adj`

). - Now t-statistics are used for
`feols`

and non-poisson, non-binomial models in`feglm`

. For all other models, z-statistics are used. This complies with the default’s R-stats behavior.

- The
`residuals`

method has been substantially improved, now allowing different types. - New stats methods: sigma, deviance, weights.

- Typos corrected.
- Images in the Readme set to 1200px.

- Convergence problems may arise in the presence of
**multiple**variables with varying slopes. Theoretical work helped find a solution to this problem, but the implementation in R is proving not instantaneous. - In the meantime, now a warning is prompted when the algorithm suspects a convergence problem leading to poor precision of the estimated coefficients.

- Improved error-handling with dreamerr’s functions.

- Dependency to MASS has been removed.

- Major bug leading R to crash when using non-linear-in-parameters right-hand-sides in feNmlm. Only occured when some observations were removed from the data set (due to NAness or to perfect fit). [Thanks to @marissachilds, GH issue [#17]](https://github.com/lrberge/fixest/issues/17).]
- In the
`collinearity`

help pages: an example could lead to an error (due to random data generation). It has been removed. - In
`collinearity`

, corrected the problem of display of the intercept in some situations. - Defaults for the arguments
`cex`

and`lwd`

in`coefplot`

have been changed to 1 and 1 (instead of par(“cex”) and par(“lwd”)). Otherwise this led to the creation of`Rplots.pdf`

in the working directory (thanks to Kurt Hornik). - Corrected a typo in the article’s title in the vignette.

- Rewriting of sections, correction of small mistakes (wrong argument names), dropping completely the ‘cluster’ terminology (meant for fixed-effects), addition of what is contained in fixest objects.

- Adding a README.md.
- Small corrections in the vignette.

- Better Latex special character escaping (errors reported by @dlindzee #15).
- New argument
`fixef_sizes.simplify`

, which provides the sizes of the fixed-effects in parentheses when there is no ambiguity. - You can suppress the line with the significance codes with
`signifCode = NA`

. - New argument
`float`

which decides whether to embed the table into a table environment. By default it is set to`TRUE`

if a`title`

or`label`

is present. - New argument
`keep`

to select the variables to keep in the table. - New way to keep/drop/order variables with the special argument “%”. If you use “%var”, then it makes reference to the original variable name, not the aliased one (which is the default).
- New argument
`coefstat`

defining what should be shown below the coefficients (standard-errors, t-stats or confidence intervals). Suggestion by @d712 #16. - Better rendering of significant digits.

- Argument
`horiz`

. The coefficients can now be displayed horizontally instead of vertically. - The coefficient labels, when in the x-axis, can now be displayed in three different ways thanks to the new argument
`lab.fit`

: “simple”, the classic axis, “multi”, the labels appear across multiple lines to avoid collision, and “tilted” for tilted labels. - The margins now automatically fit.
- Argument
`style`

allows you to set styles with the function`setFixest_coefplot`

, you can then summon the style in`coefplot`

with this argument. - Use the ampersand to set dictionnary variables specific to
`coefplot`

(e.g. setFixest_dict(c(var1 = “a \(\\times\) b”, “&var1” = "&a%*%b")), the variable`var1`

will be rendered differently in`etable`

and in`coefplot`

). - Better display of groups (with the arguments
`group`

and`group.par`

).

`terms.fixest`

giving the terms of the estimation.

- All
`donttest`

sections were removed from help pages.

- [panel] Fixed faulty memory access when taking the lead of a variable.

- [esttable/esttex] These two functions were replaced by the function
`etable`

. In the process, some of their arguments were “lost”, this is now corrected. - [etable] Better escaping of special characters.
- [estimations] Bug when particular non-numeric vectors were used in explanatory variables.

- [coefplot] The function
`coefplot`

now accepts lists of estimations.

You can now add lags and leads in any

`fixest`

estimations. You only need to provide the panel identifiers with the new argument`panel.id`

, then you’re free to use the new functions`l()`

for lags and`f()`

for leads.You can also set up a panel data set using the function

`panel`

which allows you to use the lagging functions without having to provide the argument`panel.id`

, and which dispose of more options for setting the panel.

You can now add interactions in formulas with a new syntax:

`var::fe(ref)`

The command

`var::fe(ref)`

interacts the variable`var`

with each value of`fe`

and sets`ref`

as a reference. Note that if you don’t use the argument`ref`

, the command`var::fe`

is identical to`var:factor(fe)`

.Using

`var::fe(ref)`

to write interactions opens up a special treatment of such variables in the exporting function`etable`

and in the coefficient plotting function`coefplot`

.

`coefplot`

You can plot coefficients and their associated confidence intervals with the function

`coefplot`

.`coefplot`

dispose of many options, whose default values can be set with the function`setFixest_coefplot`

.As for the function

`etable`

, you can easily rename/drop/order the coefficients.`coefplot`

detects when interactions have been used and offers a special display for it.

[etable] Estimations table: new function to export the results of multiple estimations. Replaces the two functions

`esttex`

and`esttable`

(the two functions still exist but they will be deprecated in the future).[Lagging] New functions related to lagging:

`l`

,`f`

,`panel`

,`unpanel`

and`[.fixest_panel`

.[Utilities] A set of small utility functions has been added. They allow to extract part a coefficient table or parts of it (like the t-statistics of the standard-error) from an estimation. These functions are

`coeftable`

,`ctable`

(an alias to`coeftable`

),`se`

,`tstat`

and`pvalue`

.[coefplot] The functions

`coefplot`

and`setFixest_coefplot`

.[dof] New function to set the type of degree of freedom adjustment when computing the variance-covariance matrix. You can permanently set the type of DoF adjustment with the new function setFixest_dof().

- [all estimations] A key pre-processing step has been paralellized => algorithm faster in general and much faster for multi-FEs.
- [predict & fitted] Predict and fitted now returns vectors of the length equal to the one of original data.
- [standard-errors] New ways to compute the standard-errors have been implemented. In particular, now it account for the “nestedness” of the fixed-effects in the clusters by default. You can freely change how to compute the degrees of freedom correction with the function dof().
- [r2] Computation of the within-R2 for feglm models is now self-contained.
- [all estimations] New, more accurate, stopping criterion for 2+ fixed-effects.
- [feols] Estimations are slightly faster.
- [etable/esttex] When there are interactions, R may change the order of the interactions, making two interactions in two different estimations look different while they are in fact the same (e.g. x3:x2 and x2:x3). Now esstable automatically reorders the interactions when needed for comparison across estimations.
- [etable/esttable] The type of standard errors is now always shown.
- [etable/esttex] The aliases provided by ‘dict’ are also applied within interactions. For example:
`dict=c(x1="Wind", x2="Rain")`

, with an estimation with the following variables ‘x1’, ‘x2’, ‘x1:x2’ will lead to the following aliases in Latex ‘Wind’, ‘Rain’ and ‘Wind \(\\times\) Rain’. - [etable/esttex] Interactions of similar values but of different order (e.g. x1:x2 and x2:x1) are reorderd to appear in the same lines.
- [etable/esttex] The i) type of standard errors and ii) the significance codes, are now displayed in two separate lines (otherwise the line would be too wide).
- [etable/esttex] Argument
`yesNoFixef`

can be of length one, defaulting the second element to the empty string. - [etable/esttex] Escaping of Latex special characters is now much more robust.

- [all estimations] Fixed: bug when functions in the formula returned matrices.
- [update] Fixed: error message when the data is missing.
- [feglm] Fixed: bug double estimation when family not equal to poisson or logit
- [feglm] Fixed: severe bug occurring for families not equal to poisson or logit
- [predict] Fixed: bug when the estimation contained combined FEs.
- [summary] Regarding small sample only: now Student t distribution is used instead of the Normal to compute the pvalue.
- [esttex] Different variables with the same aliases (given by the argument ‘dict’) now appear in the same row.
- [esttex] Arguments ‘drop’ and ‘order’ are now applied post aliasing (alias given by the argument ‘dict’).
- [esttex] But when exporting multi-way standard errors.
- [r2] Small bug regarding objects obtained with
`did_estimate_yearly_effects`

. - [estimations] bug when using weights in
`feglm`

.

- lag.formula: Bug introduced from previous update which could lead to wrong results. Now fixed.

- [All estimation methods] Significant speed improvement when the fixed-effects variables (i.e. the identifiers) are string vectors.

-[did_means] New function `did_means`

to conveniently compare means of groups of observations (both treat/control and pre/post). Contains tools to easily export in Latex.

- [All estimation methods] Significant speed improvement when the fixed-effects variables (i.e. the identifiers) are of type integer or double.
- [esttex, esttable] New argument ‘fitstat’ to select which fit statistic to display. The default adapts to the models. Old arguments (loglik, bic, aic, sq.cor) are dropped.
- [esttable] Significantly better rendering of SE types.
- [r2] Now NA is returned for R2s that have no theoretical justification (e.g. within R2 when no FEs, or ‘regular’ R2 for ML models).

- [did_plot_yearly_effects] Now the name of the dependent variable appears on the y-axis.
- [esttex] Usage of the
`sym`

macro in Latex is dropped.

- [fixef.fixest] bug could appear when using varying slopes coefficients in some specific circumstances (when the slope FEs were different from the regular FEs).
- [fixef.fixest] bug when many regular FEs jointly with varying slopes.
- [fixef.fixest] regarding slope coefficients: now the algorithm also evaluates functions of variables.
- [esttable] Width of the “separating lines” now appropriately set for long dependent variable names.
- [esttex] Spelling mistake corrected.
- [estimations] Bug could occur for extremely small data sets (< 10 observations).

- [esttex, esttable] More informative error messages in functions esttex and esttable.

- lag.formula: When the data was not in a particular format, the results could be wrong. Now corrected.

- feglm: bug when a) the deviance at initialization was higher than the deviance of the first iteration of the IRWLS and b) the step-halving was unable to find a lower deviance. This led the estimation to fail with an error although it should have been performed properly.
- did_estimate_yearly_effects: bug when the estimation involved periods with negative values.

- esttex: bug regarding the number of digits of negative coefficients to be displayed
- esttex: now properly escaping the percentage and the underscore for exports in Latex
- esttex: bug when changing the names of the dependent variables using a dictionnary
- vcov: some warning messages were misleading
- update: bug update when using the argument nframes
- update: bug when updating the function fepois

- Better error messages for: did_estimate_yearly_effects, main estimation functions, setFixest_dict, fepois and fenegbin.

This package is an effort to create a family of fast and user-friendly functions to perform estimations with multiple fixed-effects (F.E.).

Estimations with fixed-effects (or call it factor variables) is a staple in social science. Hence having a package gathering many methods with fast execution time is of prime importance. At the time of this version, this is the fastest existing method to perform F.E. estimations (often by orders of magnitude, compared to the most efficient alternative methods [both in R and Stata]). The underlying method to obtain the F.E. is based on Berge 2018, and the workhorse of the code is in c++ parallelized via OpenMP (btw thanks Rcpp for simplifying coders’ life!).

This package is the follow up of the (now deprecated) package

`FENmlm`

which performed fixed-effects estimations but for only four likelihood families. Package`fixest`

completely supersedes`FENmlm`

by extending the method to regular OLS and all GLM families, and adding new utility functions. Further, the design of the functions has been completely overhauled and extended towards much more user-friendliness. Massive effort has been put into providing a set of informative error messages to the user for quick debugging of her workflow (e.g. one of the functions contains over 100 different errors messages).