R: Compute CRV3 covariance matrices via a cluster jackknife as...

vcov_CR3J.fixest

R Documentation

Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022) for objects of type `fixest`

Description

Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022) for objects of type fixest

Usage

## S3 method for class 'fixest'
vcov_CR3J(
  obj,
  cluster,
  type = "CRV3",
  return_all = FALSE,
  absorb_cluster_fixef = TRUE,
  ...
)

Arguments

`obj`	An object of type fixest
`cluster`	A clustering vector
`type`	"CRV3" or "CRV3J" following MacKinnon, Nielsen & Webb. CRV3 by default
`return_all`	Logical scalar, FALSE by default. Should only the vcov be returned (FALSE) or additional results (TRUE)
`absorb_cluster_fixef`	TRUE by default. Should the cluster fixed effects be projected out? This increases numerical stability.
`...`	other function arguments passed to 'vcov'

Value

An object of class vcov_CR3J

References

MacKinnon, James G., Morten Ã˜rregaard Nielsen, and Matthew D. Webb. "Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust." arXiv preprint arXiv:2205.03288 (2022).

Examples


library(summclust)
library(fixest)
data(mtcars)
mtcars

fit <- feols(mpg ~ cyl + disp + hp, data = mtcars)
summ <- vcov_CR3J(fit, cluster = ~carb)