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Vignette: Update standard_errors.Rmd with vcov = "cluster" #622

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Merged
kylebutts merged 2 commits into from
Dec 8, 2025
Merged

Vignette: Update standard_errors.Rmd with vcov = "cluster" #622

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7850a85
Update standard_errors.Rmd with `vcov = "cluster"`
arcruz0 Dec 5, 2025
3712f03
Update standard_errors.Rmd with `vcov = ~firm`
arcruz0 Dec 6, 2025
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10 changes: 5 additions & 5 deletions vignettes/standard_errors.Rmd
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Original file line number Diff line number Diff line change
Expand Up @@ -204,7 +204,7 @@ Now for clustered SEs:
se_lm_firm = se(vcovCL(est_lm, cluster = ~firm, type = "HC1"))["capital"]
se_plm_firm = se(vcovHC(est_plm, cluster = "group"))["capital"]
se_stata_firm = 0.06328129 # vce(cluster firm)
se_feols_firm = se(est_feols, vcov = "cluster")
se_feols_firm = se(est_feols, vcov = ~firm)

rbind(se_lm_firm, se_plm_firm, se_stata_firm, se_feols_firm)
```
Expand All @@ -215,11 +215,11 @@ Now let's see how to replicate the standard-errors from `lm` and `plm`:

```{r}
# How to get the lm version
se_feols_firm_lm = se(est_feols, ssc = ssc(K.fixef = "full"))
se_feols_firm_lm = se(est_feols, vcov = ~firm, ssc = ssc(K.fixef = "full"))
rbind(se_lm_firm, se_feols_firm_lm)

# How to get the plm version
se_feols_firm_plm = se(est_feols, ssc = ssc(K.fixef = "none", G.adj = FALSE))
se_feols_firm_plm = se(est_feols, vcov = ~firm, ssc = ssc(K.fixef = "none", G.adj = FALSE))
rbind(se_plm_firm, se_feols_firm_plm)
```

Expand Down Expand Up @@ -296,13 +296,13 @@ se_lfe_firm = se(est_lfe)
rbind(se_lfe_firm, se_feols_firm)

# You have to provide a custom VCOV to replicate lfe's VCOV
my_vcov = vcov(est_feols, ssc = ssc(K.adj = FALSE))
my_vcov = vcov(est_feols, vcov = ~firm, ssc = ssc(K.adj = FALSE))
se(est_feols, vcov = my_vcov * 199/198) # Note that there are 200 observations

# Differently from feols, the SEs in lfe are different if year is not a FE:
# => now SEs are identical.
rbind(se(felm(inv ~ capital + factor(year) | firm | 0 | firm, Grunfeld))["capital"],
se(feols(inv ~ capital + factor(year) | firm, Grunfeld))["capital"])
se(feols(inv ~ capital + factor(year) | firm, Grunfeld), vcov = ~firm)["capital"])

# Now with two-way clustered standard-errors
est_lfe_2way = felm(inv ~ capital | firm + year | 0 | firm + year, Grunfeld)
Expand Down