I am using the lfe package in R to do some regression with lots of fixed effects, so direct lm is out of the question (and since the fixed effects are not individual-level, so is plm). I get the output with no problems but now I'd like to use it in a LaTeX table. However, none of the packages I tried (like xtable, apsrtable, the latex command in Hmisc and so on) have methods for objects of class felm. So my question is, what do I do? Is there a way to access the lm.method and twist it so it can read felm objects? Is there a way to coerce felm objects into lm form? Any ideas?
It is possible that doing some transplant surgery on the felm-object will succeed. Determining whether creation of such a chimera is not doing violence to important underlying assumptions is your responsibility:
# with the first example in the lfe::
est <- lfe::felm(y ~ x+x2+G(id)+G(firm))
class(est) <- c("felm", "lm")
require(xtable)
xtable(est)
#----------------
% latex table generated in R 2.14.0 by xtable 1.6-0 package
% Sun Mar 18 10:42:04 2012
\begin{table}[ht]
\begin{center}
\begin{tabular}{rrrrr}
\hline
& Estimate & Std. Error & t value & Pr($>$$|$t$|$) \\
\hline
x & 1.0937 & 0.0971 & 11.26 & 0.0000 \\
x2 & 0.4597 & 0.1177 & 3.91 & 0.0002 \\
\hline
\end{tabular}
\end{center}
\end{table}
Before doing that class engraftment, I did look at the felm-object to see if it resembled an lm-object and it did. It also appears that summary(est) returns the output that would be expected by a user of lm. (This does not actually do what you asked. The only thing it does is allow lm-targetted functions to attempt to do their work.)
I'm not a particularly successful user of S4 methods but following a couple of links in the help page and making mods this is what I got after ignoring the warning:
require(stats)
setOldClass(c("felm", "lm"))
setMethod("modelInfo", "summary.felm", function(x) {
env <- sys.parent()
digits <- evalq(digits, env)
model.info <- list(
"$N$"=formatC(sum(x$df[1:2]),format="d"),
"Resid. sd" = formatC(x$sigma,format="f",digits=digits))
class(model.info) <- "model.info"
return(model.info)
} )
#in method for ‘modelInfo’ with signature ‘"summary.felm"’: no definition for class “summary.felm”
#[1] "modelInfo"
apsrtable(est,est, digits=1, align="l",
stars=1, model.counter=0, order="rl",
coef.rows=1, col.hspace="3em", float="sidewaystable")
#----------------------
\begin{sidewaystable}[!ht]
\caption{}
\label{}
\begin{tabular}{ l D{.}{.}{1}D{.}{.}{1}@{\hspace{3em}}D{.}{.}{1}D{.}{.}{1} }
\hline
& \multicolumn{ 2 }{ c }{ Model 0 } & \multicolumn{ 2 }{ c }{ Model 1 } \\ \hline
x & 1.1 ^* & (0.1) & 1.1 ^* & (0.1) \\
x2 & 0.5 ^* & (0.1) & 0.5 ^* & (0.1) \\
$N$ & \multicolumn{2}{c}{172} & \multicolumn{2}{c}{172}\\
Resid. sd & \multicolumn{2}{c}{ } & \multicolumn{2}{c}{ } \\ \hline
\multicolumn{5}{l}{\footnotesize{Robust standard errors in parentheses}}\\
\multicolumn{5}{l}{\footnotesize{$^*$ indicates significance at $p< 0.05 $}}
\end{tabular}
\end{sidewaystable}