fwildclusterboot: Fast Wild Cluster Bootstrap Inference for Linear Models

Implementation of fast algorithms for wild cluster bootstrap inference developed in 'Roodman et al' (2019, 'STATA' Journal, <doi:10.1177/1536867X19830877>) and 'MacKinnon et al' (2022), which makes it feasible to quickly calculate bootstrap test statistics based on a large number of bootstrap draws even for large samples. Multiple bootstrap types as described in 'MacKinnon, Nielsen & Webb' (2022) are supported. Further, '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: 0.12.1
Imports: collapse, dreamerr, Formula, generics, dqrng, gtools, Matrix, JuliaConnectoR, MASS, Rcpp, summclust
LinkingTo: Rcpp, RcppArmadillo, RcppEigen
Suggests: fixest, lfe, ivreg, clubSandwich, lmtest, data.table, fabricatr, covr, knitr, rmarkdown, broom, modelsummary, bench, testthat (≥ 3.0.0), tibble, sandwich
Published: 2023-01-23
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: Version Requirements to run the wild bootstrap through Julia - Julia (>= 1.7), WildBootTests.jl (>=0.8.1). Julia is downloadable via the official Julia website (https://julialang.org/downloads/), WildBootTests.jl via Julia's package manager (https://docs.julialang.org/en/v1/stdlib/Pkg/) or its github repository (https://github.com/droodman/WildBootTests.jl)
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_0.12.1.tar.gz
Windows binaries: r-devel: fwildclusterboot_0.12.1.zip, r-release: fwildclusterboot_0.12.1.zip, r-oldrel: fwildclusterboot_0.12.1.zip
macOS binaries: r-release (arm64): fwildclusterboot_0.12.1.tgz, r-oldrel (arm64): fwildclusterboot_0.12.1.tgz, r-release (x86_64): fwildclusterboot_0.12.1.tgz, r-oldrel (x86_64): fwildclusterboot_0.12.1.tgz
Old sources: fwildclusterboot archive

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