boottest

An object of type lm, fixest, felm or ivreg

object

<code>boottest</code> is a S3 method that allows for fast wild cluster
bootstrap inference for objects of class lm, fixest and felm by implementing
the fast wild bootstrap algorithm developed in Roodman et al., 2019.

Implementation of the fast algorithm for wild cluster bootstrap
inference developed in Roodman et al (2019, STATA Journal) for
linear regression models <doi:10.1177/1536867X19830877>,
which makes it feasible to quickly calculate bootstrap test
statistics based on a large number of bootstrap draws even for
large samples. Multiway clustering, regression weights,
bootstrap weights, fixed effects and subcluster bootstrapping
are supported. Further, both restricted (WCR) and unrestricted
(WCU) bootstrap are supported. Methods are provided for a variety
of fitted models, including 'lm()', 'feols()'
(from package 'fixest') and 'felm()' (from package 'lfe').
Additionally implements a heteroskedasticity-robust (HC1) wild
bootstrap.
Further, the package provides an R binding to 'WildBootTests.jl',
which provides additional speed gains and functionality,
including the 'WRE' bootstrap for instrumental variable models
(based on models of type 'ivreg()' from package 'ivreg')
and hypotheses with q > 1.

Alexander Fischer

fwildclusterboot

Fast Wild Cluster Bootstrap Inference for Linear Models

David Roodman

Achim Zeileis

Nathaniel Graham

Susanne Koell

Laurent Berge

Sebastian Krantz

boottest function

To guarantee reproducibility, you can either use <code>boottest()'s</code> <code>seed</code> function argument, or
set a global random seed via<ul>
<li><code>set.seed()</code> when using<ol>
<li>the lean algorithm (via <code>boot_algo = "R-lean"</code>), 2) the heteroskedastic wild bootstrap</li>
<li>the wild cluster bootstrap via <code>boot_algo = "R"</code> with Mammen weights or 4) <code>boot_algo = "WildBootTests.jl"</code></li>
</ol></li>
<li><code>dqrng::dqset.seed()</code> when using <code>boot_algo = "R"</code> for Rademacher, Webb or Normal weights</li>
</ul>

boottest: Fast wild cluster bootstrap inference

Description

Usage

Arguments

Value

Setting Seeds

References

See Also