coef_test {clubSandwich}R Documentation

Test all or selected regression coefficients in a fitted model


coef_test reports t-tests for each coefficient estimate in a fitted linear regression model, using a sandwich estimator for the standard errors and a small sample correction for the p-value. The small-sample correction is based on a Satterthwaite approximation or a saddlepoint approximation.


  test = "Satterthwaite",
  coefs = "All",
  p_values = TRUE,



Fitted model for which to calculate t-tests.


Variance covariance matrix estimated using vcovCR or a character string specifying which small-sample adjustment should be used to calculate the variance-covariance.


Character vector specifying which small-sample corrections to calculate. "z" returns a z test (i.e., using a standard normal reference distribution). "naive-t" returns a t test with m - 1 degrees of freedom, where m is the number of unique clusters. "naive-tp" returns a t test with m - p degrees of freedom, where p is the number of regression coefficients in obj. "Satterthwaite" returns a Satterthwaite correction. "saddlepoint" returns a saddlepoint correction. Default is "Satterthwaite".


Character, integer, or logical vector specifying which coefficients should be tested. The default value "All" will test all estimated coefficients.


Logical indicating whether to report p-values. The default value is TRUE.


Further arguments passed to vcovCR, which are only needed if vcov is a character string.


A data frame containing estimated regression coefficients, standard errors, and test results. For the Satterthwaite approximation, degrees of freedom and a p-value are reported. For the saddlepoint approximation, the saddlepoint and a p-value are reported.

See Also



data("Produc", package = "plm")
lm_individual <- lm(log(gsp) ~ 0 + state + log(pcap) + log(pc) + log(emp) + unemp, data = Produc)
individual_index <- !grepl("state", names(coef(lm_individual)))
coef_test(lm_individual, vcov = "CR2", cluster = Produc$state, coefs = individual_index)

V_CR2 <- vcovCR(lm_individual, cluster = Produc$state, type = "CR2")
coef_test(lm_individual, vcov = V_CR2, coefs = individual_index)

[Package clubSandwich version 0.5.6 Index]