cvcov {modmarg}

Clustered variance-covariance matrices and T statistic d.o.f.

Description

Variance-covariance matrices with robust clustered standard errors and degrees-of-freedom for T statistics, for tests and examples specifying vcov (d.o.f. defined as g - 1, where g is the number of clusters). Generated with margex data in this package.

Usage

cvcov

Format

A list of three lists, from an OLS model, logit model, and OLS with a polynomial interaction with missing data, each containing

clust

3-by-3 variance-covariance matrix

dof

integer, degrees of freedom for the T statistic

Details

See data-raw/make_cluster_vcov.R for details.

Source

http://cameron.econ.ucdavis.edu/research/Cameron_Miller_JHR_2015_February.pdf