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robust-small-sample-standard-errors

Degrees of freedom adjustments for robust standard errors described in Imbens and Kolesár (2016, Review of Economics and Statistics)

https://github.com/kolesarm/robust-small-sample-standard-errors

Science Score: 26.0%

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Repository

Degrees of freedom adjustments for robust standard errors described in Imbens and Kolesár (2016, Review of Economics and Statistics)

Basic Info
  • Host: GitHub
  • Owner: kolesarm
  • License: other
  • Language: R
  • Default Branch: master
  • Homepage:
  • Size: 1.59 MB
Statistics
  • Stars: 31
  • Watchers: 2
  • Forks: 7
  • Open Issues: 0
  • Releases: 6
Created almost 11 years ago · Last pushed over 1 year ago
Metadata Files
Readme Changelog License

README.md

R-CMD-check Coverage status CRAN_Status_Badge Download statistics

dfadjust

This package implements the small-sample degrees of freedom adjustments for robust and cluster-robust standard errors in linear regression described in Imbens and Kolesár (2016).

See vignette dfadjust for description of the package (available through vignette("dfadjust") once package is installed), and the package manual for documentation of the package functions.

Example

No clustering: r x <- sin(1:10) y <- tan(1:10) fm <- lm(y~x) dfadjustSE(fm) Clustering: r clustervar <- as.factor(c(rep(1, 6), rep(2, 2), rep(3, 2))) dfadjustSE(fm, clustervar) Here we defined the first six observations to be in cluster 1, the next two in cluster 2, and the last three in cluster three.

The package handles cluster fixed effects, and large clusters. Computing the adjustment with one million observations and 50 clusters takes about 5 seconds:

``` r N <- 10^6 x <- sin(1:N) y <- seq(N) clustervar <- as.factor(rep(1:50, each=N/50)) fm <- lm(y~x+clustervar)

Inference on x, i.e. second coefficient

dfadjustSE(fm, ell=2, clustervar=clustervar) ```

Installation

You can install the released version of dfadjust from CRAN with:

r install.packages("dfadjust")

Alternatively, you can get the current development version from GitHub: r if (!requireNamespace("remotes")) { install.packages("remotes") } remotes::install_github("kolesarm/Robust-Small-Sample-Standard-Errors")

Owner

  • Name: Michal Kolesar
  • Login: kolesarm
  • Kind: user
  • Location: Princeton, NJ

GitHub Events

Total
  • Create event: 1
  • Release event: 1
  • Issues event: 1
  • Issue comment event: 3
  • Push event: 8
Last Year
  • Create event: 1
  • Release event: 1
  • Issues event: 1
  • Issue comment event: 3
  • Push event: 8

Committers

Last synced: over 2 years ago

All Time
  • Total Commits: 44
  • Total Committers: 3
  • Avg Commits per committer: 14.667
  • Development Distribution Score (DDS): 0.182
Past Year
  • Commits: 7
  • Committers: 1
  • Avg Commits per committer: 7.0
  • Development Distribution Score (DDS): 0.0
Top Committers
Name Email Commits
Michal Kolesár k****i@g****m 36
Michal Kolesár k****m@p****e 7
Michal Kolesar k****m 1
Committer Domains (Top 20 + Academic)
proton.me: 1

Issues and Pull Requests

Last synced: 11 months ago

All Time
  • Total issues: 3
  • Total pull requests: 0
  • Average time to close issues: about 2 months
  • Average time to close pull requests: N/A
  • Total issue authors: 3
  • Total pull request authors: 0
  • Average comments per issue: 3.33
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 1
  • Pull requests: 0
  • Average time to close issues: 4 months
  • Average time to close pull requests: N/A
  • Issue authors: 1
  • Pull request authors: 0
  • Average comments per issue: 5.0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
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Top Authors
Issue Authors
  • skranz (1)
  • lboxell (1)
  • Breakend (1)
Pull Request Authors
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Packages

  • Total packages: 1
  • Total downloads:
    • cran 285 last-month
  • Total dependent packages: 0
  • Total dependent repositories: 1
  • Total versions: 7
  • Total maintainers: 1
cran.r-project.org: dfadjust

Degrees of Freedom Adjustment for Robust Standard Errors

  • Versions: 7
  • Dependent Packages: 0
  • Dependent Repositories: 1
  • Downloads: 285 Last month
Rankings
Forks count: 8.7%
Stargazers count: 9.9%
Average: 21.7%
Dependent repos count: 23.8%
Dependent packages count: 28.7%
Downloads: 37.5%
Maintainers (1)
kolesarmi@googlemail.com
Last synced: 11 months ago

Dependencies

DESCRIPTION cran
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