Robust standard errors for Poisson regression with fixed effects

Last year I released an R package, poisFErobust, which provides a function to compute standard errors for Poisson regression with fixed effects. The standard errors are derived in Wooldridge (1999) and are robust to conditional serial correlation of errors within groups. The function also returns the p-value of the hypothesis test of the conditional mean assumption (3.1) as described in the paper, Section 3.3.

The package is on CRAN, so it may be installed with

install.packages("poisFErobust")

The examples below show output when the assumption (3.1) is satisfied and when it is not satisfied.

require(poisFErobust)
# ex.dt.good satisfies the conditional mean assumption
data("ex.dt.good")
pois.fe.robust(outcome = "y", xvars = c("x1", "x2"), group.name = "id",
index.name = "day", data = ex.dt.good)

$coefficients
       x1        x2
0.9899730 0.9917526

$se.robust
        x1         x2
0.03112512 0.02481941

$p.value
[1] 0.6996001

# ex.dt.bad violates the conditional mean assumption
data("ex.dt.bad")
pois.fe.robust(outcome = "y", xvars = c("x1", "x2"), group.name = "id",
index.name = "day", data = ex.dt.bad)

$coefficients
       x1        x2
0.4800735 2.9866911

$se.robust
       x1        x2
0.2864666 1.2743953

$p.value
[1] 0.02213269

The results should match those of Stata’s xtpoisson y x, fe vce(r).

The source code is available at https://bitbucket.org/ew-btb/poisson-fe-robust. Pull requests are welcome.