LinComs.jl

Linear combinations of parameters

Introduction

Linear combinations of parameters for FixedEffectModels.jl and EventStudyInteracts.jl like Stata package lincom. As Stata package lincom help document explains:

lincom computes point estimates, standard errors, t or z statistics, p-values, and confidence intervals for linear combinations of coefficients after any estimation command, including survey estimation. Results can optionally be displayed as odds ratios, hazard ratios, incidence-rate ratios, or relative-risk ratios.

lincom can be used to aggregating event study estimates and estimate the average effect when use the Stata package eventstudyinteract provided by Sun and Abraham (2021).

I wrote the EventStudyInteracts.jl package, which is a Julia replication of the Stata package eventstudyinteract provided by Sun and Abraham (2021). However, there is currently no package in Julia similar to lincom, so I wrote this package.

This package can also be used for t-tests of linear combinations of results from FixedEffectModels.jl.

Installation

The package is registered in the General registry and so can be installed at the REPL with ] add LinComs.

Usage

After estimating the results using EventStudyInteracts.jl, you can refer to the following code to estimate the ATE.

rel_varlist1 = [:g_3,:g_2 ,:g0 ,:g1 ,:g2 ,:g3 ,:g4]

m1 = eventreg(df, formula1, rel_varlist1, control_cohort1, cohort1, vcov1)

expr = :((g0+g1+g2+g3+g4)/5)

lincom(m1,expr)
# Which will return a result like this.
                                   lincom                                   
=============================================================================
ln_wage            |  Estimate Std.Error t value Pr(>|t|) Lower 95% Upper 95%
-----------------------------------------------------------------------------
Linear Combination | 0.0561422  0.012538 4.47776    0.000 0.0315618 0.0807226
=============================================================================

Thanks to newbing.