Comparing the value of the intercept calculated by the function lm, with that obtained with the function lfe::getfe

[sciabolazza]

I get different results when comparing the value of the intercept calculated by the function lm, with that obtained with the function lfe::getfe.

Here's a reproducible example:

`
library(lfe)

set seed for reproducible example

set.seed(123)

generate independent variables

x <- rnorm(4000)
x2 <- rnorm(length(x))

create individual and firm ids

id <- factor(sample(500,length(x),replace=TRUE))
firm <- factor(sample(300,length(x),replace=TRUE))

generate dependent variable

id.eff <- rlnorm(nlevels(id))
firm.eff <- rexp(nlevels(firm))
y <- x + 0.25*x2 + id.eff[id] + firm.eff[firm] + rnorm(length(x))

estimate results

est <- felm(y ~ x + x2 | id + firm)
est2 <- lm(y ~ x + x2 + id + firm)

Compare estimates

coef(est)

x x2

1.017696 0.246784

coef(est2)[2:3]

x x2

1.017696 0.246784

estimate fixed effects

fe_est <- getfe(est, ef = "zm2")

Compare intercept

fe_est[grepl("icpt", rownames(fe_est)), ]

effect obs comp

icpt.1 2.583704 4000 1

coef(est2)[1]

(Intercept)

7.312307

`

I am wondering if it is possible to obtain a reliable approximation of the value of the intercept estimated by lm using lfe::getfe.