vcov_CR3J.lm

Compute CRV3 covariance matrices via a cluster
jackknife as described in MacKinnon, Nielsen &amp; Webb
(2022) for objects of type <code>lm</code>

Module to compute cluster specific information for regression models
with clustered errors, including leverage and influence statistics.
Models of type 'lm' and 'fixest'(from the 'stats' and 'fixest' packages)
are supported. 'summclust' implements similar features as the
user-written 'summclust.ado' Stata module (MacKinnon, Nielsen & Webb, 2022;
<arXiv:2205.03288v1>).

Alexander Fischer

summclust

Module to Compute Influence and Leverage Statistics for
Regression Models with Clustered Errors

vcov_CR3J.lm function

<dl><dt>obj</dt>
<dd>An object of type lm</dd>
<dt>cluster</dt>
<dd>A clustering vector</dd>
<dt>type</dt>
<dd>"CRV3" or "CRV3J" following MacKinnon, Nielsen &amp; Webb.
CRV3 by default</dd>
<dt>return_all</dt>
<dd>Logical scalar, FALSE by default. Should only
the vcov be returned (FALSE) or additional results (TRUE)</dd>
<dt>...</dt>
<dd>other function arguments passed to 'vcov'</dd></dl>

Arguments

Compute CRV3 covariance matrices via a cluster
jackknife as described in MacKinnon, Nielsen &amp; Webb
(2022) for objects of type lm — vcov_CR3J.lm

<dl>

<dt>obj</dt>
<dd>An object of type lm</dd>


<dt>cluster</dt>
<dd>A clustering vector</dd>


<dt>type</dt>
<dd>"CRV3" or "CRV3J" following MacKinnon, Nielsen &amp; Webb.
CRV3 by default</dd>


<dt>return_all</dt>
<dd>Logical scalar, FALSE by default. Should only
the vcov be returned (FALSE) or additional results (TRUE)</dd>


<dt>...</dt>
<dd>other function arguments passed to 'vcov'</dd>

</dl>

vcov_CR3J.lm: Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022) for objects of type `lm`

Description

Usage

Value

Arguments

References

Examples