When calculating a panel data regression with multiple fixed effects using the
felm() (of the
lfe package), no constant / intercept is generated in the summary results.
Why would there be no constant generated?
When using Stata (
fe), for example, an intercept is generated by default. My understanding is that the "constant" is not a real constant, but rather a grand mean of all constants. Is that correct?
(I apologize in advance for not providing a reproducible example...)
Here is an excerpt from Simen Gaure's article in The R Journal (Vol. 5/2, December 2013) https://journal.r-project.org/archive/2013/RJ-2013-031/RJ-2013-031.pdf
"The careful reader has noticed that the behaviour of summary() on a ’felm’ object with respect to degrees of freedom and R2 is the same as that of on an ’lm’ object when including an intercept. There is no explicit intercept in the result of felm(), but the factor structure includes one implicitly."