R: Collinearity diagnostics for 'fixest' objects

collinearity {fixest} | R Documentation

## Collinearity diagnostics for `fixest` objects

### Description

In some occasions, the optimization algorithm of `femlm` may fail to converge, or the variance-covariance matrix may not be available. The most common reason of why this happens is colllinearity among variables. This function helps to find out which set of variables is problematic.

### Usage

    collinearity(x, verbose)

### Arguments

`x` | A `fixest` object obtained from, e.g. functions `femlm`, `feols` or `feglm`.
`verbose` | An integer. If higher than or equal to 1, then a note is prompted at each step of the algorithm. By default `verbose = 0` for small problems and to 1 for large problems.

### Details

This function tests: 1) collinearity with the fixed-effect variables, 2) perfect multi-collinearity between the variables, 4) perfect multi-collinearity between several variables and the fixed-effects, and 4) identification issues when there are non-linear in parameters parts.

### Value

It returns a text message with the identified diagnostics.

### Author(s)

Laurent Berge

### Examples

    # Creating an example data base:
    set.seed(1)
    fe_1 = sample(3, 100, TRUE)
    fe_2 = sample(20, 100, TRUE)
    x = rnorm(100, fe_1)**2
    y = rnorm(100, fe_2)**2
    z = rnorm(100, 3)**2
    dep = rpois(100, x*y*z)
    base = data.frame(fe_1, fe_2, x, y, z, dep)

    # creating collinearity problems:
    base$v1 = base$v2 = base$v3 = base$v4 = 0
    base$v1[base$fe_1 == 1] = 1
    base$v2[base$fe_1 == 2] = 1
    base$v3[base$fe_1 == 3] = 1
    base$v4[base$fe_2 == 1] = 1

    # Estimations:

    # Collinearity with the fixed-effects:
    res_1 = femlm(dep ~ log(x) + v1 + v2 + v4 | fe_1 + fe_2, base)
    collinearity(res_1)

    # => collinearity with the first fixed-effect identified, we drop v1 and v2
    res_1bis = femlm(dep ~ log(x) + v4 | fe_1 + fe_2, base)
    collinearity(res_1bis)

    # Multi-Collinearity:
    res_2 =  femlm(dep ~ log(x) + v1 + v2 + v3 + v4, base)
    collinearity(res_2)

[Package fixest version 0.10.1 Index]