parameters: standard_error_robust – R documentation

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standard_error_robust

Robust estimation

Description

standard_error_robust(), ci_robust() and p_value_robust() attempt to return indices based on robust estimation of the variance-covariance matrix, using the packages sandwich and clubSandwich.

Usage

standard_error_robust(
  model,
  vcov_estimation = "HC",
  vcov_type = NULL,
  vcov_args = NULL,
  ...
)

p_value_robust(
  model,
  vcov_estimation = "HC",
  vcov_type = NULL,
  vcov_args = NULL,
  ...
)

ci_robust(
  model,
  ci = 0.95,
  vcov_estimation = "HC",
  vcov_type = NULL,
  vcov_args = NULL,
  ...
)

Arguments

`model`	A model.
`vcov_estimation`	String, indicating the suffix of the `vcov*()`-function from the sandwich or clubSandwich package, e.g. `vcov_estimation = "CL"` (which calls `vcovCL` to compute clustered covariance matrix estimators), or `vcov_estimation = "HC"` (which calls `vcovHC()` to compute heteroskedasticity-consistent covariance matrix estimators).
`vcov_type`	Character vector, specifying the estimation type for the robust covariance matrix estimation (see `vcovHC()` or `clubSandwich::vcovCR()` for details).
`vcov_args`	List of named vectors, used as additional arguments that are passed down to the sandwich-function specified in `vcov_estimation`.
`...`	Arguments passed to or from other methods. For `standard_error()`, if `method = "robust"`, arguments `vcov_estimation`, `vcov_type` and `vcov_args` can be passed down to `standard_error_robust()`.
`ci`	Confidence Interval (CI) level. Default to 0.95 (95%).

Value

A data frame.

Note

These functions rely on the sandwich or clubSandwich package (the latter if vcov_estimation = "CR" for cluster-robust standard errors) and will thus only work for those models supported by those packages.

Examples

if (require("sandwich", quietly = TRUE)) {
  # robust standard errors, calling sandwich::vcovHC(type="HC3") by default
  model <- lm(Petal.Length ~ Sepal.Length * Species, data = iris)
  standard_error_robust(model)
}
## Not run: 
if (require("clubSandwich", quietly = TRUE)) {
  # cluster-robust standard errors, using clubSandwich
  iris$cluster <- factor(rep(LETTERS[1:8], length.out = nrow(iris)))
  standard_error_robust(
    model,
    vcov_type = "CR2",
    vcov_args = list(cluster = iris$cluster)
  )
}

## End(Not run)

parameters

Processing of Model Parameters

v0.13.0

GPL-3

Authors

Daniel Lüdecke [aut, cre] (<https://orcid.org/0000-0002-8895-3206>, @strengejacke), Dominique Makowski [aut] (<https://orcid.org/0000-0001-5375-9967>), Mattan S. Ben-Shachar [aut] (<https://orcid.org/0000-0002-4287-4801>), Indrajeet Patil [aut] (<https://orcid.org/0000-0003-1995-6531>, @patilindrajeets), Søren Højsgaard [aut], Zen J. Lau [ctb], Vincent Arel-Bundock [ctb] (<https://orcid.org/0000-0003-1995-6531>, @vincentab), Jeffrey Girard [ctb] (<https://orcid.org/0000-0002-7359-3746>, @jeffreymgirard)

Initial release