Adds CR3 estimator to lm_robust and iv_robust #263
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| if (!is.null(obj[["call"]])) { | ||
| obj[["call"]] <- NULL | ||
| } | ||
| return(obj) |
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rmcall <- function(obj) { structure(obj, call=NULL) }
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This doesn't work as call is an object in a list not an attribute.
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ah - right, different from DeclareDesign. You can still remove the null check I think.
src/lm_robust_helper.cpp
Outdated
| } else { | ||
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| if (se_type == "CR2") { | ||
| if (se_type == "CR2" || se_type == "CR3") { |
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Choose if you want
((se_type == "CR2") || (se_type == "CR3"))
(se_type == "CR2" || se_type == "CR3")
(se_type %in% c("CR2", "CR3"))
and be consistent throughout.
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Luke -- has it be possible to check this implementation against others in R
or stata?
…On Wed, Oct 24, 2018 at 3:37 PM Luke Sonnet ***@***.***> wrote:
***@***.**** commented on this pull request.
------------------------------
In src/lm_robust_helper.cpp
<#263 (comment)>
:
> @@ -426,16 +428,30 @@ List lm_variance(Eigen::Map<Eigen::MatrixXd>& X,
H2s.block(0, p_pos, r_fe, r_fe) = ME * X.block(start_pos, 0, len, r_fe) * M_U_ct;
H3s.block(0, p_pos, r_fe, r_fe) = MEU * Omega_ct;
}
+
+ } else if (se_type == "CR3") {
+
+ Eigen::CompleteOrthogonalDecomposition<Eigen::MatrixXd> At(
+ Eigen::MatrixXd::Identity(len, len) -
+ Xoriginal.block(start_pos, 0, len, r_fe) *
+ meatXtX_inv *
+ X.block(start_pos, 0, len, r_fe).transpose()
+ );
+
+ if (Xunweighted.isNotNull()) {
+ At_WX_inv = At.solve(Eigen::MatrixXd::Identity(len, len)).transpose() * X.block(start_pos, 0, len, r_fe);
It doesn't know the solution is symmetric, so the transpose is not a
no-op, right?
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@macartan, the tests compare it with clubSandwich. Stata does not have CR3 standard errors, but I think base |
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I'm stuck right now because the slight (numerical) differences in the variance-covariance matrix from commarobust or from lm_robust are causing different kinds of failures in computing the F-statistic on windows 32bit machines. This is an absolutely ridiculous error, but I'm trying to eliminate or minimize the numerical deviations that are causing it. |
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OK with me if we just round to the 10th decimal place or something to get around this windows issue |
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Thanks so much for adding this. |
lm_robustandiv_robust(closes issue Add CR3 clustered se option #261)