summclust (version 0.7.2)

vcov_CR3J.fixest: 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 fixest
vcov_CR3J(
  obj,
  cluster,
  type = "CRV3",
  return_all = FALSE,
  absorb_cluster_fixef = TRUE,
  ...
)

Value

An object of class vcov_CR3J

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'

References

MacKinnon, James G., Morten Ørregaard 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)