LHS formula macros are expanded into sums with instrumental variables

[svraka]

When a formula contains instruments, dot sqaure bracket expansions don’t work for left hand side variables. Without macros in the formula I get the expected multiple estimation results:

library(fixest)
feols(c(mpg, wt) ~ disp + cyl + carb | hp ~ qsec, data = mtcars)

## Standard-errors: IID 
## Dep. var.: mpg
##              Estimate Std. Error  t value   Pr(>|t|)    
## (Intercept) 35.052251   3.347478 10.47124 5.2388e-11 ***
## fit_hp       0.096591   0.073228  1.31904 1.9823e-01    
## disp        -0.047224   0.021549 -2.19148 3.7222e-02 *  
## cyl         -1.721778   1.138336 -1.51254 1.4201e-01    
## carb        -2.695554   1.570846 -1.71599 9.7619e-02 .  
## ---
## Dep. var.: wt
##              Estimate Std. Error   t value  Pr(>|t|)    
## (Intercept)  1.438835   0.760716  1.891420 0.0693417 .  
## fit_hp      -0.035416   0.016641 -2.128197 0.0425977 *  
## disp         0.016430   0.004897  3.355034 0.0023664 ** 
## cyl          0.150458   0.258688  0.581622 0.5656464    
## carb         0.800647   0.356976  2.242860 0.0333149 *

With a macro, instead of expanding it to estimate multiple models, LHS variables are expanded into a sum:

lhs <- c("mpg", "wt")
feols(.[lhs] ~ disp + cyl + carb | hp ~ qsec, data = mtcars)

## TSLS estimation, Dep. Var.: mpg + wt, Endo.: hp, Instr.: qsec
## Second stage: Dep. Var.: mpg + wt
## Observations: 32 
## Standard-errors: IID 
##              Estimate Std. Error   t value   Pr(>|t|)    
## (Intercept) 36.491086   2.820705 12.936866 4.3599e-13 ***
## fit_hp       0.061175   0.061705  0.991423 3.3028e-01    
## disp        -0.030794   0.018158 -1.695920 1.0140e-01    
## cyl         -1.571319   0.959203 -1.638151 1.1299e-01    
## carb        -1.894907   1.323652 -1.431576 1.6374e-01    
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## RMSE: 2.96324   Adj. R2: 0.615246
## F-test (1st stage), hp: stat = 4.12322, p = 0.052254, on 1 and 27 DoF.
##             Wu-Hausman: stat = 1.47704, p = 0.23516 , on 1 and 26 DoF.

I couldn’t find any reference in the docs that this should’t work. However, explicitly requesting a comma expansion and wrapping the macro in c():

feols(c(.[, lhs]) ~ disp + cyl + carb | gear | hp ~ qsec, data = mtcars) 

## Standard-errors: Clustered (gear) 
## Dep. var.: mpg
##         Estimate Std. Error   t value Pr(>|t|) 
## fit_hp  0.152104   0.260844  0.583121  0.61880 
## disp   -0.051793   0.089141 -0.581020  0.61998 
## cyl    -1.469573   2.753668 -0.533678  0.64694 
## carb   -4.170337   3.032891 -1.375037  0.30289 
## ---
## Dep. var.: wt
##         Estimate Std. Error   t value Pr(>|t|) 
## fit_hp -0.080043   0.153502 -0.521443  0.65405 
## disp    0.024830   0.044221  0.561505  0.63098 
## cyl     0.420763   1.397060  0.301177  0.79171 
## carb    1.583101   1.980471  0.799356  0.50793

The same happens with regexes as well:

feols(..("^(mpg|wt)$") ~ disp + cyl + carb | hp ~ qsec, data = mtcars) 

## TSLS estimation, Dep. Var.: mpg + wt, Endo.: hp, Instr.: qsec
## Second stage: Dep. Var.: mpg + wt
## Observations: 32 
## Standard-errors: IID 
##              Estimate Std. Error   t value   Pr(>|t|)    
## (Intercept) 36.491086   2.820705 12.936866 4.3599e-13 ***
## fit_hp       0.061175   0.061705  0.991423 3.3028e-01    
## disp        -0.030794   0.018158 -1.695920 1.0140e-01    
## cyl         -1.571319   0.959203 -1.638151 1.1299e-01    
## carb        -1.894907   1.323652 -1.431576 1.6374e-01    
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## RMSE: 2.96324   Adj. R2: 0.615246
## F-test (1st stage), hp: stat = 4.12322, p = 0.052254, on 1 and 27 DoF.
##             Wu-Hausman: stat = 1.47704, p = 0.23516 , on 1 and 26 DoF.

feols(c(..(, "^(mpg|wt)$")) ~ disp + cyl + carb | hp ~ qsec, data = mtcars) 

## Standard-errors: IID 
## Dep. var.: mpg
##              Estimate Std. Error  t value   Pr(>|t|)    
## (Intercept) 35.052251   3.347478 10.47124 5.2388e-11 ***
## fit_hp       0.096591   0.073228  1.31904 1.9823e-01    
## disp        -0.047224   0.021549 -2.19148 3.7222e-02 *  
## cyl         -1.721778   1.138336 -1.51254 1.4201e-01    
## carb        -2.695554   1.570846 -1.71599 9.7619e-02 .  
## ---
## Dep. var.: wt
##              Estimate Std. Error   t value  Pr(>|t|)    
## (Intercept)  1.438835   0.760716  1.891420 0.0693417 .  
## fit_hp      -0.035416   0.016641 -2.128197 0.0425977 *  
## disp         0.016430   0.004897  3.355034 0.0023664 ** 
## cyl          0.150458   0.258688  0.581622 0.5656464    
## carb         0.800647   0.356976  2.242860 0.0333149 *

library(fixest)

^{Created on 2023-02-27 with reprex v2.0.2}

Session info

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[lrberge]

Hello, thanks a lot for reporting and for the very clear reproducible example/issue!
Now fixed.