CRAN/E | fwildclusterboot

fwildclusterboot

Fast Wild Cluster Bootstrap Inference for Linear Models

Installation

About

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. Last, 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.

Citation fwildclusterboot citation info
s3alfisc.github.io/fwildclusterboot/
System requirements Version Requirements to run the wild bootstrap through Julia - Julia (>= 1.8), WildBootTests.jl (>=0.9). 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)
Bug report File report

Key Metrics

Version 0.13.0
Published 2023-02-26 277 days ago
Needs compilation? yes
License GPL-3
CRAN checks fwildclusterboot results
Language en-US

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Maintainer

Maintainer

Alexander Fischer

alexander-fischer1801@t-online.de

Authors

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

Material

README
NEWS
Reference manual
Package source

In Views

Econometrics

Vignettes

fwildclusterboot

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

fwildclusterboot archive

Imports

collapse
dreamerr
Formula
generics
dqrng
gtools
Matrix
JuliaConnectoR
MASS
Rcpp
summclust
rlang

Suggests

fixest
lfe
ivreg
clubSandwich
lmtest
data.table
fabricatr
covr
knitr
rmarkdown
broom
modelsummary
bench
testthat ≥ 3.0.0
tibble
sandwich

LinkingTo

Rcpp
RcppArmadillo
RcppEigen