vcov_cluster: Clustered VCOV

In fixest: Fast Fixed-Effects Estimations

Clustered VCOV

Description

Computes the clustered VCOV of fixest objects.

Usage

vcov_cluster(x, cluster = NULL, ssc = NULL, vcov_fix = TRUE)

Arguments

x	A fixest object.
cluster	Either i) a character vector giving the names of the variables onto which to cluster, or ii) a formula giving those names, or iii) a vector/list/data.frame giving the hard values of the clusters. Note that in cases i) and ii) the variables are fetched directly in the data set used for the estimation.
ssc	An object returned by the function ssc. It specifies how to perform the small sample correction. These VCOVs accept all the arguments of ssc.
vcov_fix	Logical scalar, default is FALSE. If the VCOV ends up not being positive definite, whether to "fix" it using an eigenvalue decomposition (a la Cameron, Gelbach & Miller 2011). Since the VCOV should be PSD asymptotically, this might be a sign of a problem with using the asymptotic approximation (e.g. too few units in clusters). If a problem is detected, the function will print a message to inform you. Note that a message informs the user only if the regularized PD matrix is substantially different than the original non PD one (i.e. at least one difference between the two greated than 1e-8).

Value

If the first argument is a fixest object, then a VCOV is returned (i.e. a symmetric matrix).

If the first argument is not a fixest object, then a) implicitly the arguments are shifted to the left (i.e. vcov_cluster(~var1 + var2) is equivalent to vcov_cluster(cluster = ~var1 + var2)) and b) a VCOV-request is returned and NOT a VCOV. That VCOV-request can then be used in the argument vcov of various fixest functions (e.g. vcov.fixest or even in the estimation calls).

Author(s)

Laurent Berge

References

Cameron AC, Gelbach JB, Miller DL (2011). "Robust Inference with Multiway Clustering." Journal of Business & Economic Statistics, 29(2), 238-249. doi:10.1198/jbes.2010.07136.

Examples

base = iris
names(base) = c("y", "x1", "x2", "x3", "species")
base$clu = rep(1:5, 30)

est = feols(y ~ x1, base)

# VCOV: using a formula giving the name of the clusters
vcov_cluster(est, ~species + clu)

# works as well with a character vector
vcov_cluster(est, c("species", "clu"))

# you can also combine the two with '^'
vcov_cluster(est, ~species^clu)

#
# Using VCOV requests
#

# per se: pretty useless...
vcov_cluster(~species)

# ...but VCOV-requests can be used at estimation time:
# it may be more explicit than...
feols(y ~ x1, base, vcov = vcov_cluster("species"))

# ...the equivalent, built-in way:
feols(y ~ x1, base, vcov = ~species)

# The argument vcov does not accept hard values,
# so you can feed them with a VCOV-request:
feols(y ~ x1, base, vcov = vcov_cluster(rep(1:5, 30)))

fixest documentation built on March 18, 2026, 9:06 a.m.