Implementation of fast algorithms for wild cluster bootstrap
inference developed in 'Roodman et al' (2019, 'STATA' Journal,
<doi:10.1177/1536867X19830877>) and 'MacKinnon et al' (2022),
which makes it feasible to quickly calculate bootstrap test
statistics based on a large number of bootstrap draws even for
large samples. Multiple bootstrap types as described in 'MacKinnon,
Nielsen & Webb' (2022) are supported.
Further, '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: |
0.12.1 |
| Imports: |
collapse, dreamerr, Formula, generics, dqrng, gtools, Matrix, JuliaConnectoR, MASS, Rcpp, summclust |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppEigen |
| Suggests: |
fixest, lfe, ivreg, clubSandwich, lmtest, data.table, fabricatr, covr, knitr, rmarkdown, broom, modelsummary, bench, testthat (≥ 3.0.0), tibble, sandwich |
| Published: |
2023-01-23 |
| 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: |
Version Requirements to run the wild bootstrap
through Julia - Julia (>= 1.7), WildBootTests.jl (>=0.8.1).
Julia is downloadable via the official Julia website
(https://julialang.org/downloads/), WildBootTests.jl via
Julia's package manager
(https://docs.julialang.org/en/v1/stdlib/Pkg/) or its github
repository (https://github.com/droodman/WildBootTests.jl) |
| Language: |
en-US |
| Citation: |
fwildclusterboot citation info |
| Materials: |
README NEWS |
| In views: |
Econometrics |
| CRAN checks: |
fwildclusterboot results |