confint.femlm {FENmlm}

Confidence interval for parameters estimated with femlm

Description

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

Usage

## S3 method for class 'femlm'
confint(object, parm, level = 0.95, se = c("standard",
  "white", "cluster", "twoway", "threeway", "fourway"), cluster,
  dof_correction = FALSE, ...)

Arguments

object

An object of class femlm. Typically the result of a femlm estimation.

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.

se

Character scalar. Which kind of standard error should be computed: “standard” (default), “White”, “cluster”, “twoway”, “threeway” or “fourway”?

cluster

A list of vectors. Used only if se="cluster", “se=twoway”, “se=threeway” or “se=fourway”. The vectors should give the cluster of each observation. Note that if the estimation was run using cluster, the standard error is automatically clustered along the cluster given in femlm. For one-way clustering, this argument can directly be a vector (instead of a list). If the estimation has been done with cluster variables, you can give a character vector of the dimensions over which to cluster the SE.

dof_correction

Logical, default is FALSE. Should there be a degree of freedom correction to the standard errors of the coefficients?

...

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(s)

Laurent Berge

Examples

# Load trade data
data(trade)

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

# confidence interval with "normal" VCOV
confint(est_pois)

# confidence interval with "clustered" VCOV (w.r.t. the Origin factor)
confint(est_pois, se = "cluster")