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Sets the default type of standard errors to be used

Source: R/VCOV.R
setFixest_vcov.Rd

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 = "iid",
  two_FE = "iid",
  panel = "iid",
  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" (default), "hetero", or "cluster". The type of standard-errors to use by default for estimations with one fixed-effect.

two_FE

Character scalar equal to either: "iid" (default), "hetero", "cluster", 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" (default), "hetero", "cluster", or "driscoll_kraaay". The type of standard-errors to use by default for estimations with the argument panel.id set up. Note that panel has precedence over the presence of fixed-effects.

all

Character scalar equal to either: "iid", or "hetero" (or "cluster" if the argument no_FE is provided). 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: 'standard' VCOVs

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*** (0.0514) 0.9779*** (0.0473)
#> Fixed-Effects:  ------------------ ------------------ ------------------
#> id                              No                Yes                Yes
#> period                          No                 No                Yes
#> _______________ __________________ __________________ __________________
#> S.E. type                      IID                IID                IID
#> 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 = "cluster",
               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*** (0.0481) 0.9779*** (0.0342)
#> Fixed-Effects:  ------------------ ------------------ ------------------
#> id                              No                Yes                Yes
#> period                          No                 No                Yes
#> _______________ __________________ __________________ __________________
#> S.E. type       Heteroskedas.-rob.             by: id    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*** (0.0242)
#> 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)