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Arbitrary Linear Hypothesis Testing for Regression Models via Wald-Tests

Source: R/methods.R
mboottest.Rd

mboottest is a S3 method that allows for arbitrary linear hypothesis testing for objects of class lm, fixest, felm

Usage

mboottest(object, ...)

Arguments

object

An object of type lm, fixest or felm

...

other arguments

Value

An object of class mboottest.

Setting Seeds

To guarantee reproducibility, you can either use boottest()'s seed function argument, or set a global random seed via

  • set.seed() when using

    1. the lean algorithm (via engine = "R-lean"),

    2. the heteroskedastic wild bootstrap

    3. the wild cluster bootstrap via engine = "R" with Mammen weights or

    4. engine = "WildBootTests.jl"

  • dqrng::dqset.seed() when using engine = "R" for Rademacher, Webb or Normal weights

References

Roodman et al., 2019, "Fast and wild: Bootstrap inference in STATA using boottest", The STATA Journal. (https://ideas.repec.org/p/qed/wpaper/1406.html)

Cameron, A. Colin, Jonah B. Gelbach, and Douglas L. Miller. "Bootstrap-based improvements for inference with clustered errors." The Review of Economics and Statistics 90.3 (2008): 414-427.

Cameron, A.Colin & Douglas L. Miller. "A practitioner's guide to cluster-robust inference" Journal of Human Resources (2015) doi:10.3368/jhr.50.2.317

Davidson & MacKinnon. "Wild Bootstrap Tests for IV regression" Journal of Economics and Business Statistics (2010) doi:10.1198/jbes.2009.07221

MacKinnon, James G., and Matthew D. Webb. "The wild bootstrap for few (treated) clusters." The Econometrics Journal 21.2 (2018): 114-135.

MacKinnon, James G., and Matthew D. Webb. "Cluster-robust inference: A guide to empirical practice" Journal of Econometrics (2022) doi:10.1016/j.jeconom.2022.04.001

MacKinnon, James. "Wild cluster bootstrap confidence intervals." L'Actualite economique 91.1-2 (2015): 11-33.

Webb, Matthew D. "Reworking wild bootstrap based inference for clustered errors" . No. 1315. Queen's Economics Department Working Paper, 2013.

See also

mboottest.lm mboottest.felm mboottest.fixest

Examples

if (FALSE) {
requireNamespace("clubSandwich")
R <- clubSandwich::constrain_zero(2:3, coef(lm_fit))
wboottest <-
  mboottest(
    object = lm_fit,
    clustid = "group_id1",
    B = 999,
    R = R
  )
summary(wboottest)
print(wboottest)
nobs(wboottest)
pval(wboottest)
generics::tidy(wboottest)
}