Mundlak (correlated random effects) device

Augments a data frame with the unit-level means of the time-varying numeric covariates in formula, and returns the augmented formula and data. Fitting any of the package's estimators on the result implements the Mundlak / correlated-random-effects specification: the coefficients on the original covariates recover the within-unit (fixed-effects-consistent) effects, while the coefficients on the unit means capture (and test) the correlation between the covariates and the unit effect. It is a lighter, between-variation-preserving alternative to full fixed effects, and it is model-agnostic — the same device feeds cpb(), gec(), or count_reg().

Usage

mundlak(formula, data, unit, suffix = "_mean")

Arguments

formula

A model formula.

data

A data frame.

unit

Column name identifying the panel unit.

suffix

Suffix for the added unit-mean columns (default "_mean").

Value

A list with formula (the augmented formula), data (the augmented data frame), and added (the names of the unit-mean columns).

See also

count_reg(), cpb()

Examples

set.seed(1)
d <- data.frame(y = rpois(200, 3), x = rnorm(200), unit = factor(rep(1:20, each = 10)))
m <- mundlak(y ~ x, d, unit = "unit")
fit <- count_reg(m$formula, m$data, family = "poisson")