Dear list users,

When calculating a panel data regression with multiple fixed effects

using the function felm() from the lfe package, no constant term (i.e.

intercept) is generated in the summary results.

In an old post on stackoverflow [1], someone suggested that it is

possible to retrieve the value of the intercept by using the function

lfe::getfe, setting the field "ef" equal to "zm2".

However, I get different results when comparing the value of the

intercept calculated by the function lm, with that obtained with the

function lfe::getfe.

Here's a reproducible example:

library(lfe)

# set seed for reproducible example

set.seed(123)

## generate independent variables

x <- rnorm(4000)

x2 <- rnorm(length(x))

## create individual and firm ids

id <- factor(sample(500,length(x),replace=TRUE))

firm <- factor(sample(300,length(x),replace=TRUE))

## generate dependent variable

id.eff <- rlnorm(nlevels(id))

firm.eff <- rexp(nlevels(firm))

y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + rnorm(length(x))

## estimate results

est <- felm(y ~ x + x2 | id + firm)

est2 <- lm(y ~ x + x2 + id + firm)

## Compare estimates

coef(est)

# x x2

# 1.017696 0.246784

coef(est2)[2:3]

# x x2

# 1.017696 0.246784

# estimate fixed effects

fe_est <- getfe(est, ef = "zm2")

## Compare intercept

fe_est[grepl("icpt", rownames(fe_est)), ]

# effect obs comp

# icpt.1 2.583704 4000 1

coef(est2)[1]

# (Intercept)

# 7.312307

I am wondering if anyone can explain this difference.

Also, I would like to know if it is possible to obtain a reliable

approximation of the value of the intercept estimated by lm using

lfe::getfe.

Best,

Valerio

P.s.Observe that 3 weeks ago I have posted this question on

stackoverflow [2] but no one answered.

[1]

https://stackoverflow.com/questions/49351201/fixed-effects-regression-constant-intercept-using-lfe-felm-in-r[2]

https://stackoverflow.com/questions/62497705/estimate-of-constant-term-using-r-felmlfe-package-and-differences-with-statsValerio Leone Sciabolazza, Ph.D.

Department of Business and Economics

University of Naples, Parthenope.

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