robust_isatpanel {getspanel}

Get robust Standard Errors for the isatpanel result

Description

Get robust Standard Errors for the isatpanel result

Usage

robust_isatpanel(
  object,
  robust = TRUE,
  HAC = FALSE,
  lag = NULL,
  type = "HC0",
  cluster = "group"
)

Arguments

object

An isatpanel object

robust

Logical (TRUE or FALSE). Should the Standard Errors be robustified for Heterogeneity? This uses plm::vcovHC with the specified type (default is "HC0").

HAC

Should Heteroscedasticity and Autocorrelation Robust Standard Errors be used? This uses plm::vcovNW, which uses the Newey-West estimator.

lag

Maximum Number of Lags to be used with plm::vcovNW using the Newey-West estimator. Cannot be specified when HAC = FALSE. Default is NULL.

type

Character string. Type of Robust procedure e.g. 'HC0' for White SE or 'HC3' for Lang.

cluster

Should an object with clustered S.E. be included? Choose between 'group' or 'time' or FALSE. Uses plm::vcovHC with the cluster argument.

Value

A list with robust estimates

Examples

data(EU_emissions_road)

# Group specification
EU15 <- c("Austria", "Germany", "Denmark", "Spain", "Finland", "Belgium",
         "France", "United Kingdom", "Ireland", "Italy", "Luxembourg",
         "Netherlands", "Greece", "Portugal", "Sweden")

# Prepare sample and data
EU_emissions_road_short <- EU_emissions_road[
EU_emissions_road$country %in% EU15 &
EU_emissions_road$year >= 2000,
]

# Run
result <- isatpanel(
  data = EU_emissions_road_short,
  formula = ltransport.emissions ~ lgdp + I(lgdp^2) + lpop,
  index = c("country", "year"),
  effect = "twoways",
  fesis = TRUE,
  plot = FALSE,
  t.pval = 0.01
)
robust_isatpanel(result)