Wald_test: Test parameter constraints in a fitted linear regression...

In clubSandwich: Cluster-Robust (Sandwich) Variance Estimators with Small-Sample Corrections

Test parameter constraints in a fitted linear regression model

Description

Wald_test reports Wald-type tests of linear contrasts from a fitted linear regression model, using a sandwich estimator for the variance-covariance matrix and a small sample correction for the p-value. Several different small-sample corrections are available.

Usage

Wald_test(obj, constraints, vcov, test = "HTZ", tidy = FALSE, ...)

Arguments

obj	Fitted model for which to calculate Wald tests.
constraints	List of one or more constraints to test. See details and examples.
vcov	Variance covariance matrix estimated using vcovCR or a character string specifying which small-sample adjustment should be used to calculate the variance-covariance.
test	Character vector specifying which small-sample correction(s) to calculate. The following corrections are available: "chi-sq", "Naive-F", "Naive-Fp", "HTA", "HTB", "HTZ", "EDF", "EDT". Default is "HTZ".
tidy	Logical value controlling whether to tidy the test results. If constraints is a list with multiple constraints, the result will be coerced into a data frame when tidy = TRUE.
...	Further arguments passed to vcovCR, which are only needed if vcov is a character string.

Details

Constraints can be specified directly as q X p matrices or indirectly through constrain_equal, constrain_zero, or constrain_pairwise

Value

A list of test results.

See Also

vcovCR, constrain_equal, constrain_zero, constrain_pairwise

Examples

if (requireNamespace("carData", quietly = TRUE)) withAutoprint({

data(Duncan, package = "carData")
Duncan$cluster <- sample(LETTERS[1:8], size = nrow(Duncan), replace = TRUE)

Duncan_fit <- lm(prestige ~ 0 + type + income + type:income + type:education, data=Duncan)
# Note that type:income terms are interactions because main effect of income is included
# but type:education terms are separate slopes for each unique level of type

# Test equality of intercepts
Wald_test(Duncan_fit,
          constraints = constrain_equal(1:3),
          vcov = "CR2", cluster = Duncan$cluster)

# Test equality of type-by-education slopes
Wald_test(Duncan_fit,
          constraints = constrain_equal(":education", reg_ex = TRUE),
          vcov = "CR2", cluster = Duncan$cluster)

# Pairwise comparisons of type-by-education slopes
Wald_test(Duncan_fit,
          constraints = constrain_pairwise(":education", reg_ex = TRUE),
          vcov = "CR2", cluster = Duncan$cluster)

# Test type-by-income interactions
Wald_test(Duncan_fit,
          constraints = constrain_zero(":income", reg_ex = TRUE),
          vcov = "CR2", cluster = Duncan$cluster)

# Pairwise comparisons of type-by-income interactions
Wald_test(Duncan_fit,
          constraints = constrain_pairwise(":income", reg_ex = TRUE, with_zero = TRUE),
          vcov = "CR2", cluster = Duncan$cluster)
          
})

clubSandwich documentation built on July 26, 2023, 5:46 p.m.