vcov_CR3J.fixest {summclust}

Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022) for objects of type fixest

Description

Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022) for objects of type fixest

Usage

## S3 method for class 'fixest'
vcov_CR3J(
  obj,
  cluster,
  type = "CRV3",
  return_all = FALSE,
  absorb_cluster_fixef = TRUE,
  ...
)

Arguments

obj

An object of type fixest

cluster

A clustering vector

type

"CRV3" or "CRV3J" following MacKinnon, Nielsen & Webb. CRV3 by default

return_all

Logical scalar, FALSE by default. Should only the vcov be returned (FALSE) or additional results (TRUE)

absorb_cluster_fixef

TRUE by default. Should the cluster fixed effects be projected out? This increases numerical stability.

...

other function arguments passed to 'vcov'

Value

An object of class vcov_CR3J

References

MacKinnon, James G., Morten Ørregaard Nielsen, and Matthew D. Webb. "Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust." arXiv preprint arXiv:2205.03288 (2022).

Examples

library(summclust)
library(fixest)
data(mtcars)
mtcars

fit <- feols(mpg ~ cyl + disp + hp, data = mtcars)
summ <- vcov_CR3J(fit, cluster = ~carb)