coef_test {clubSandwich} | R Documentation |
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.
coef_test(
obj,
vcov,
test = "Satterthwaite",
coefs = "All",
p_values = TRUE,
...
)
obj |
Fitted model for which to calculate t-tests. |
vcov |
Variance covariance matrix estimated using |
test |
Character vector specifying which small-sample corrections to
calculate. |
coefs |
Character, integer, or logical vector specifying which
coefficients should be tested. The default value |
p_values |
Logical indicating whether to report p-values. The default
value is |
... |
Further arguments passed to |
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.
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)