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).

Examples

# \donttest{
if(requireNamespace("summclust") && requireNamespace("haven")){

library(summclust)
library(haven)

nlswork <- read_dta("http://www.stata-press.com/data/r9/nlswork.dta")
# drop NAs at the moment
nlswork <- nlswork[, c("ln_wage", "grade", "age", "birth_yr", "union", "race", "msp", "ind_code")]
nlswork <- na.omit(nlswork)

lm_fit <- lm(
  ln_wage ~ union +  race + msp + as.factor(birth_yr) + as.factor(age) + as.factor(grade),
  data = nlswork)

# CRV3 standard errors
vcov <- vcov_CR3J(
   obj = lm_fit,
   cluster = ~ind_code,
   type = "CRV3"
)

# CRV3 standard errors
vcovJN <- vcov_CR3J(
   obj = lm_fit,
   cluster = ~ind_code,
   type = "CRV3J",
)
}
#> Error in eval(mf, parent.frame()): object 'nlswork' not found
# }