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invx
2009 Feb 07
1
fixed effects regression
...l be deeply appreciated....
feols = function(y,X,id) {
n = length(y);
uniq_id = unique(id);
n_id = length(uniq_id);
dummy = matrix(rep(0,n*(n_id-1)),nrow=n);
for (i in 1:(n_id-1))
dummy[id==uniq_id[i],i] = 1;
X = cbind(rep(1,n),X,dummy);
k = ncol(X);
invXX = solve(t(X) %*% X);
b = as.numeric(invXX %*% (t(X) %*% y));
res = y - X%*%b;
s2 = as.numeric(t(res) %*% res /(n-k));
omega = as.numeric(s2) * invXX;
se = sqrt(diag(omega));
dev = y - mean(y);
r2 = 1 - as.numeric(t(res)%*%res)/as.numeric(t(dev) %*% dev);
t = b/se;...