This functions defines or extracts the default type of standard-errors to computed in
fixest summary, and vcov.
Usage
setFixest_vcov(
no_FE = "iid",
one_FE = "cluster",
two_FE = "cluster",
panel = "cluster",
all = NULL,
reset = FALSE
)
getFixest_vcov()Arguments
- no_FE
Character scalar equal to either:
"iid"(default), or"hetero". The type of standard-errors to use by default for estimations without fixed-effects.- one_FE
Character scalar equal to either:
"iid","hetero", or"cluster"(default). The type of standard-errors to use by default for estimations with one fixed-effect.- two_FE
Character scalar equal to either:
"iid","hetero","cluster"(default), or"twoway". The type of standard-errors to use by default for estimations with two or more fixed-effects.- panel
Character scalar equal to either:
"iid","hetero","cluster"(default), or"driscoll_kraaay". The type of standard-errors to use by default for estimations with the argumentpanel.idset up. Note that panel has precedence over the presence of fixed-effects.- all
Character scalar equal to either:
"iid", or"hetero". By default is is NULL. If provided, it sets all the SEs to that value.- reset
Logical, default is
FALSE. Whether to reset to the default values.
Value
The function getFixest_vcov() returns a list with three elements containing the default for
estimations i) without, ii) with one, or iii) with two or more fixed-effects.
Examples
# By default:
# - no fixed-effect (FE): standard
# - one or more FEs: cluster
# - panel: cluster on panel id
data(base_did)
est_no_FE = feols(y ~ x1, base_did)
est_one_FE = feols(y ~ x1 | id, base_did)
est_two_FE = feols(y ~ x1 | id + period, base_did)
est_panel = feols(y ~ x1 | id + period, base_did, panel.id = ~id + period)
etable(est_no_FE, est_one_FE, est_two_FE)
#> est_no_FE est_one_FE est_two_FE
#> Dependent Var.: y y y
#>
#> Constant 1.989*** (0.1492)
#> x1 0.9831*** (0.0501) 0.9615*** (0.0481) 0.9779*** (0.0458)
#> Fixed-Effects: ------------------ ------------------ ------------------
#> id No Yes Yes
#> period No No Yes
#> _______________ __________________ __________________ __________________
#> S.E. type IID by: id by: id
#> Observations 1,080 1,080 1,080
#> R2 0.26304 0.38715 0.48696
#> Within R2 -- 0.26507 0.30776
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
# Changing the default standard-errors
setFixest_vcov(no_FE = "hetero", one_FE = "iid",
two_FE = "twoway", panel = "drisc")
etable(est_no_FE, est_one_FE, est_two_FE, est_panel)
#> est_no_FE est_one_FE est_two_FE
#> Dependent Var.: y y y
#>
#> Constant 1.989*** (0.1490)
#> x1 0.9831*** (0.0510) 0.9615*** (0.0514) 0.9779*** (0.0342)
#> Fixed-Effects: ------------------ ------------------ ------------------
#> id No Yes Yes
#> period No No Yes
#> _______________ __________________ __________________ __________________
#> S.E. type Heteroskedas.-rob. IID by: id & period
#> Observations 1,080 1,080 1,080
#> R2 0.26304 0.38715 0.48696
#> Within R2 -- 0.26507 0.30776
#>
#> est_panel
#> Dependent Var.: y
#>
#> Constant
#> x1 0.9779*** (0.0241)
#> Fixed-Effects: ------------------
#> id Yes
#> period Yes
#> _______________ __________________
#> S.E. type Drisco.-Kra. (L=1)
#> Observations 1,080
#> R2 0.48696
#> Within R2 0.30776
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
# Resetting the defaults
setFixest_vcov(reset = TRUE)