Implementation of the fast algorithm for wild cluster bootstrap
inference developed in Roodman et al (2019, STATA Journal) for
linear regression models <doi:10.1177/1536867X19830877>,
which makes it feasible to quickly calculate bootstrap test
statistics based on a large number of bootstrap draws even for
large samples. Multiway clustering, regression weights,
bootstrap weights, fixed effects and subcluster bootstrapping
are supported. Further, both restricted (WCR) and unrestricted
(WCU) bootstrap are supported. Methods are provided for a variety
of fitted models, including 'lm()', 'feols()'
(from package 'fixest') and 'felm()' (from package 'lfe').
Additionally implements a heteroskedasticity-robust (HC1) wild
bootstrap.
Further, the package provides an R binding to 'WildBootTests.jl',
which provides additional speed gains and functionality,
including the 'WRE' bootstrap for instrumental variable models
(based on models of type 'ivreg()' from package 'ivreg')
and hypotheses with q > 1.
| Version: |
0.9 |
| Imports: |
collapse, Formula, Rcpp, dreamerr, Matrix, Matrix.utils, generics, gtools, dqrng, JuliaConnectoR |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppEigen |
| Suggests: |
fixest, lfe, ivreg, clubSandwich, sandwich, lmtest, data.table, fabricatr, covr, knitr, rmarkdown, broom, modelsummary, bench, testthat (≥ 3.0.0), tibble |
| Published: |
2022-06-10 |
| Author: |
Alexander Fischer [aut, cre],
David Roodman [aut],
Achim Zeileis [ctb] (Author of included sandwich fragments),
Nathaniel Graham [ctb] (Contributor to included sandwich fragments),
Susanne Koell [ctb] (Contributor to included sandwich fragments),
Laurent Berge [ctb] (Author of included fixest fragments),
Sebastian Krantz [ctb] |
| Maintainer: |
Alexander Fischer <alexander-fischer1801 at t-online.de> |
| BugReports: |
https://github.com/s3alfisc/fwildclusterboot/issues/ |
| License: |
GPL-3 |
| URL: |
https://s3alfisc.github.io/fwildclusterboot/ |
| NeedsCompilation: |
yes |
| SystemRequirements: |
Julia (>= 1.7), WildBootTests.jl (>=0.7.13) |
| Language: |
en-US |
| Citation: |
fwildclusterboot citation info |
| Materials: |
README NEWS |
| In views: |
Econometrics |
| CRAN checks: |
fwildclusterboot results |