Wrong DFs in model_parameters.fixest

DESCRIPTION

@@ -1,7 +1,7 @@
 Type: Package
 Package: parameters
 Title: Processing of Model Parameters
-Version: 0.21.1.2
+Version: 0.21.1.3
 Authors@R:
     c(person(given = "Daniel",
              family = "Lüdecke",

NAMESPACE

@@ -274,7 +274,9 @@ S3method(model_parameters,emm_list)
 S3method(model_parameters,epi.2by2)
 S3method(model_parameters,fa)
 S3method(model_parameters,fa.ci)
+S3method(model_parameters,feglm)
 S3method(model_parameters,fitdistr)
+S3method(model_parameters,fixest)
 S3method(model_parameters,fixest_multi)
 S3method(model_parameters,flac)
 S3method(model_parameters,flic)

NEWS.md

@@ -2,6 +2,9 @@
 
 ## Bug fixes
 
+* Fixed issue with wrong calculation of test-statistic and p-values in
+  `model_parameters()` for `fixest` models.
+
 * Minor fixes for `dominance_analysis()`.
 
 # parameters 0.21.1

R/methods_fixest.R

@@ -1,5 +1,66 @@
 # .fixest -----------------------
 
+#' @export
+model_parameters.fixest <- function(model,
+                                    ci = 0.95,
+                                    ci_method = NULL,
+                                    bootstrap = FALSE,
+                                    iterations = 1000,
+                                    standardize = NULL,
+                                    exponentiate = FALSE,
+                                    p_adjust = NULL,
+                                    summary = getOption("parameters_summary", FALSE),
+                                    keep = NULL,
+                                    drop = NULL,
+                                    verbose = TRUE,
+                                    vcov = NULL,
+                                    vcov_args = NULL,
+                                    ...) {
+  # default ci-method, based on statistic
+  if (is.null(ci_method)) {
+    if (identical(insight::find_statistic(model), "t-statistic") && identical(model$method, "feols")) {
+      ci_method <- "wald"
+    } else {
+      ci_method <- "normal"
+    }
+  }
+
+  # extract model parameters table, as data frame
+  out <- tryCatch(
+    {
+      .model_parameters_generic(
+        model = model,
+        ci = ci,
+        ci_method = ci_method,
+        bootstrap = bootstrap,
+        iterations = iterations,
+        merge_by = "Parameter",
+        standardize = standardize,
+        exponentiate = exponentiate,
+        p_adjust = p_adjust,
+        summary = summary,
+        keep_parameters = keep,
+        drop_parameters = drop,
+        vcov = vcov,
+        vcov_args = vcov_args,
+        verbose = verbose,
+        ...
+      )
+    },
+    error = function(e) {
+      NULL
+    }
+  )
+
+  if (is.null(out)) {
+    insight::format_error("Something went wrong... :-/")
+  }
+
+  attr(out, "object_name") <- insight::safe_deparse_symbol(substitute(model))
+  out
+}
+
+
 #' @export
 standard_error.fixest <- function(model, vcov = NULL, vcov_args = NULL, ...) {
   params <- insight::get_parameters(model)
@@ -7,11 +68,11 @@
   if (!is.null(vcov)) {
     # we don't want to wrap this in a tryCatch because the `fixest` error is
     # informative when `vcov` is wrong.
     V <- insight::get_varcov(model, vcov = vcov, vcov_args = vcov_args)
     SE <- sqrt(diag(V))
   } else {
     stats <- summary(model)
     SE <- as.vector(stats$se)
   }
 
   .data_frame(
@@ -31,11 +92,17 @@
   }
   method <- match.arg(
     tolower(method),
-    choices = c("wald", "residual")
+    choices = c("wald", "residual", "normal")
   )
+
+  # we may have Inf DF, too
+  if (method == "normal") {
+    return(Inf)
+  }
+
   method <- switch(method,
     "wald" = "t",
     "residual" = "resid"
   )
   fixest::degrees_freedom(model, type = method)
 }
@@ -45,6 +112,9 @@
 
 # .feglm -----------------------
 
+#' @export
+model_parameters.feglm <- model_parameters.fixest
+
 #' @export
 standard_error.feglm <- function(model, ...) {
   stats <- stats::coef(summary(model))

tests/testthat/test-model_parameters.fixest.R

@@ -13,18 +13,38 @@ test_that("model_parameters.fixest", {
   )
   params <- model_parameters(m, verbose = FALSE)
 
-  expect_equal(c(nrow(params), ncol(params)), c(2, 9))
-  expect_equal(params$p, as.vector(fixest::pvalue(m)), tolerance = 1e-3)
-  expect_equal(params$df_error[1], as.vector(fixest::degrees_freedom(m, type = "t")), tolerance = 1e-3)
-  expect_equal(params$Coefficient, as.vector(coef(m)), tolerance = 1e-3)
+  expect_identical(c(nrow(params), ncol(params)), c(2L, 9L))
+  expect_equal(params$p, as.vector(fixest::pvalue(m)), tolerance = 1e-4)
+  expect_equal(params$df_error[1], as.vector(fixest::degrees_freedom(m, type = "t")), tolerance = 1e-4)
+  expect_equal(params$Coefficient, as.vector(coef(m)), tolerance = 1e-4)
 
   # currently, a bug for fixest 10.4 on R >= 4.3
-  skip_if_not(getRversion() < "4.2.0")
+  # skip_if_not(getRversion() < "4.2.0")
   expect_snapshot(
     model_parameters(m, summary = TRUE, verbose = FALSE)
   )
 })
 
+
+test_that("model_parameters.fixest", {
+  skip_on_cran()
+  skip_if_not_installed("fixest")
+  skip_if_not_installed("carData")
+
+  data(Greene, package = "carData")
+  d <- Greene
+  d$dv <- as.numeric(Greene$decision == "yes")
+
+  mod1 <- fixest::feglm(dv ~ language | judge,
+    data = d,
+    cluster = "judge", family = "logit"
+  )
+  out1 <- model_parameters(mod1)
+  expect_equal(out1$p, as.vector(fixest::pvalue(mod1)), tolerance = 1e-4, ignore_attr = TRUE)
+  expect_equal(out1$SE, as.vector(sqrt(diag(vcov(mod1)))), tolerance = 1e-4, ignore_attr = TRUE)
+})
+
+
 test_that("robust standard errors", {
   skip_if_not_installed("fixest")
   mod <- fixest::feols(mpg ~ hp + am | cyl, data = mtcars)