R: Summarize felm model fits

summary.felm {lfe} | R Documentation

## Summarize felm model fits

### Description

`summary` method for class `"felm"`.

### Usage

    ## S3 method for class 'felm'
    summary(object, ..., robust = !is.null(object$clustervar)
      || getOption("lfe.robust"), lhs = NULL)

### Arguments

`object` | an object of class `"felm"`, a result of a call to `felm`.
`...` | further arguments passed to or from other methods.
`robust` | logical. Use robust standard errors. See notes.
`lhs` | character. If multiple left hand sides, specify the name of the one to obtain a summary for.

### Value

The function `summary.felm` returns an object of `class` `"summary.felm"`. It is quite similar to en `"summary.lm"` object, but not entirely compatible.

The `"summary.felm"` object is a list containing the following fields:

`residuals` | a numerical vector. The residuals of the full system, with dummies.
`p` | an integer. The total number of coefficients, including those projected out.
`Pp` | an integer. The number of coefficients, excluding those projected out.
`coefficients` | a Pp x 4 matrix with columns for the estimated coefficients, their standard errors, t-statistic and corresponding (two-sided) p-value.
`rse` | residual standard error.
`r2` | R^2, the fraction of variance explained by the model.
`r2adj` | Adjusted R^2.
`fstat` | F-statistic.
`pval` | P-values.
`P.fstat` | Projected F-statistic. The result of a call to `waldtest`
`fe` | list of factors. A list of the terms in the second part of the model.
`lhs.` | character. If `object` is the result of an estimation with multiple left hand sides, the actual argument `lhs` will be copied to this field.
`iv1fstat` | F-statistic for excluded instruments in 1. step IV, see `felm`.
`iv1pval` | P-value for `iv1fstat`.

### Note

The standard errors are adjusted for the reduced degrees of freedom coming from the dummies which are implicitly present. They are also small-sample corrected.

If the `robust` parameter is `FALSE`, the returned object will contain ordinary standard errors. If the `robust` parameter is `TRUE`, clustered standard errors are reported if a cluster was specified in the call to `felm`; if not, heteroskedastic robust standard errors are reported.

Several F-statistics reported. The `P.fstat` is for the projected system. I.e. a joint test on whether all the `Pp` coefficients in `coefficients` are zero. Then there are `fstat` and `pval` which is a test on all the coefficients including the ones projected out, except for an intercept. This statistic assumes i.i.d. errors and is not reliable for robust or clustered data.

For a 1st stage IV-regression, an F-statistic against the model with excluded instruments is also computed.

### See Also

`waldtest`

[Package lfe version 2.8-3 Index]