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

Source: R/vcov3_lm.R
vcov_CR3J.lm.Rd

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

Usage

# S3 method for lm
vcov_CR3J(obj, cluster, type = "CRV3", return_all = FALSE, ...)

Arguments

obj

An object of type lm

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)

...

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

# \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
# }