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Following-up on an emmeans user's suggestion. I have put together some support methods for the emmeans package. With it set up as provided, these methods will be registered when fixest is loaded, provided that emmeans is installed.
The provided example uses the AER package. I just didn't want to do an example with the
iris
data, as it is so far afield of the kinds of applications we would want with fixest. I think your package would benefit from having at least a somewhat realistic econometric example dataset built-in.There are some important notes in the ROxygen comments. Only the variables in the main model are considered in the reference grid created by
emmeans
-- no fixed effects nor instrumental variables. Yourvcov
and other optional arguments tovcov()
are supported via optional arguments toemmeans()
. And an important consideration: while the estimates of marginal means are correct, their standard errors and CIs are incorrect when we have fixed effects, because the EMMs involve the intercept for which we don't have variances and covariances; however, contrasts among EMMs are fine because the intercept is zeroed-out.