coef_test: Test all or selected regression coefficients in a fitted...

Description Usage Arguments Value See Also Examples

View source: R/coef_test.R

Description

coef_test reports t-tests for each coefficient estimate in a fitted linear regression model, using a sandwich estimator for the standard errors and a small sample correction for the p-value. The small-sample correction is based on a Satterthwaite approximation or a saddlepoint approximation.

Usage

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coef_test(obj, vcov, test = "Satterthwaite", coefs = "All", ...)

Arguments

obj

Fitted model for which to calculate t-tests.

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 corrections to calculate. "z" returns a z test (i.e., using a standard normal reference distribution). "naive-t" returns a t test with m - 1 degrees of freedom. "Satterthwaite" returns a Satterthwaite correction. "saddlepoint" returns a saddlepoint correction. Default is "Satterthwaite".

coefs

Character, integer, or logical vector specifying which coefficients should be tested. The default value "All" will test all estimated coefficients.

...

Further arguments passed to vcovCR, which are only needed if vcov is a character string.

Value

A data frame containing estimated regression coefficients, standard errors, and test results. For the Satterthwaite approximation, degrees of freedom and a p-value are reported. For the saddlepoint approximation, the saddlepoint and a p-value are reported.

See Also

vcovCR

Examples

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data("Produc", package = "plm")
lm_individual <- lm(log(gsp) ~ 0 + state + log(pcap) + log(pc) + log(emp) + unemp, data = Produc)
individual_index <- !grepl("state", names(coef(lm_individual)))
coef_test(lm_individual, vcov = "CR2", cluster = Produc$state, coefs = individual_index)

V_CR2 <- vcovCR(lm_individual, cluster = Produc$state, type = "CR2")
coef_test(lm_individual, vcov = V_CR2, coefs = individual_index)

clubSandwich documentation built on May 22, 2018, 1:04 a.m.