Poisson Fixed Effects Robust

Computation of robust standard errors of Poisson fixed effects models, following Wooldridge (1999).


Evan Wright

The package contains a function which computes standard errors following Wooldridge (1999) for Poisson regression with fixed effects, and a hypothesis test of the conditional mean assumption (3.1). The standard errors are robust to within-group autocorrelation of errors.

Example usage:

data("ex.dt.good")
pois.fe.robust(outcome = "y", xvars = c("x1", "x2"), group.name = "id",
               index.name = "id", data = ex.dt.good)

The standard errors should match those of the Stata command xtpoisson y x1 x2, fe vce(robust)

Wooldridge, Jeffrey M. (1999): "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, 90, 77-97.

News

Changes in v1.0.1

  1. Substantial performance improvements owing to vectorization and data.table call optimization.
  2. Automated tests using the testthat package.
  3. Cleanup of package directory and administrative files.

Reference manual

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install.packages("poisFErobust")

1.0.1 by Evan Wright, 7 months ago


https://bitbucket.org/ew-btb/poisson-fe-robust


Browse source code at https://github.com/cran/poisFErobust


Authors: Evan Wright [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports data.table, glmmML

Suggests testthat


See at CRAN