fwildclusterboot: Fast Wild Cluster Bootstrap Inference for Linear Models

Implementation of the fast algorithm for wild cluster bootstrap inference developed in Roodman et al (2019, STATA Journal) for linear regression models <doi:10.1177/1536867X19830877>, which makes it feasible to quickly calculate bootstrap test statistics based on a large number of bootstrap draws even for large samples. Multiway clustering, regression weights, bootstrap weights, fixed effects and subcluster bootstrapping are supported. Further, both restricted (WCR) and unrestricted (WCU) bootstrap are supported. Methods are provided for a variety of fitted models, including 'lm()', 'feols()' (from package 'fixest') and 'felm()' (from package 'lfe'). Additionally implements a heteroskedasticity-robust (HC1) wild bootstrap. Further, the package provides an R binding to 'WildBootTests.jl', which provides additional speed gains and functionality, including the 'WRE' bootstrap for instrumental variable models (based on models of type 'ivreg()' from package 'ivreg') and hypotheses with q > 1.

Version: 0.8
Imports: collapse, Formula, Rcpp, dreamerr, Matrix, Matrix.utils, generics, gtools, dqrng, JuliaConnectoR
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Suggests: fixest, lfe, ivreg, clubSandwich, sandwich, lmtest, data.table, fabricatr, covr, knitr, rmarkdown, broom, modelsummary, bench, testthat (≥ 3.0.0)
Published: 2022-04-19
Author: Alexander Fischer [aut, cre], David Roodman [aut], Achim Zeileis [ctb] (Author of included sandwich fragments), Nathaniel Graham [ctb] (Contributor to included sandwich fragments), Susanne Koell [ctb] (Contributor to included sandwich fragments), Laurent Berge [ctb] (Author of included fixest fragments), Sebastian Krantz [ctb]
Maintainer: Alexander Fischer <alexander-fischer1801 at t-online.de>
BugReports: https://github.com/s3alfisc/fwildclusterboot/issues/
License: GPL-3
URL: https://s3alfisc.github.io/fwildclusterboot/
NeedsCompilation: yes
SystemRequirements: Julia (>= 1.7), WildBootTests.jl (>=0.7.13)
Language: en-US
Citation: fwildclusterboot citation info
Materials: README NEWS
In views: Econometrics
CRAN checks: fwildclusterboot results

Documentation:

Reference manual: fwildclusterboot.pdf
Vignettes: fwildclusterboot

Downloads:

Package source: fwildclusterboot_0.8.tar.gz
Windows binaries: r-devel: fwildclusterboot_0.8.zip, r-release: fwildclusterboot_0.8.zip, r-oldrel: fwildclusterboot_0.8.zip
macOS binaries: r-release (arm64): fwildclusterboot_0.8.tgz, r-oldrel (arm64): fwildclusterboot_0.8.tgz, r-release (x86_64): fwildclusterboot_0.8.tgz, r-oldrel (x86_64): fwildclusterboot_0.8.tgz
Old sources: fwildclusterboot archive

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