vcov_CR3J {summclust}

Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022)

Description

Compute CRV3 covariance matrices via a cluster jackknife as described in MacKinnon, Nielsen & Webb (2022)

Usage

vcov_CR3J(obj, ...)

Arguments

obj

An object of class lm or fixest computed?

...

misc function argument

Value

An object of type '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).

See Also

vcov_CR3J.lm, vcov_CR3J.fixest

Examples

library(summclust)
data(mtcars)
mtcars

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