R/boot_ssc.R

In fwildclusterboot: Fast Wild Cluster Bootstrap Inference for Linear Models

boot_ssc <-
  function(adj = TRUE,
           fixef.K = "none",
           cluster.adj = TRUE,
           cluster.df = "conventional") {
    #' set the small sample correction factor applied in `boottest()`
    #' @param adj Logical scalar, defaults to TRUE. If TRUE, applies a small
    #'  sample correction of (N-1) / (N-k) where N is the number of observations
    #'   and k is the number of estimated coefficients excluding any fixed
    #'   effects projected out in either fixest::feols() or lfe::felm().
    #' @param fixef.K Character scalar, equal to 'none': the fixed effects
    #'  parameters are discarded when calculating k in (N-1) / (N-k).
    #' @param cluster.adj Logical scalar, defaults to TRUE. If TRUE, a cluster
    #'  correction G/(G-1) is performed, with G the number of clusters.
    #' @param cluster.df Either "conventional"(the default) or "min". Controls
    #'  how "G" is computed for multiway clustering if cluster.adj = TRUE.
    #'  Note that the covariance matrix in the multiway clustering case is of
    #'  the form V = V_1 + V_2 - V_12. If "conventional", then each summand G_i
    #'  is multiplied with a small sample adjustment G_i / (G_i - 1). If "min",
    #'  all summands are multiplied with the same value, min(G) / (min(G) - 1)
    #' @export
    #' @examples
    #' boot_ssc(adj = TRUE, cluster.adj = TRUE)
    #' boot_ssc(adj = TRUE, cluster.adj = TRUE, cluster.df = "min")
    #' @return 
    #' A list with encoded info on how to form small sample corrections

    dreamerr::check_arg_plus(adj, "loose logical scalar conv")
    dreamerr::check_arg_plus(fixef.K, "match(none, full)")
    dreamerr::check_arg_plus(cluster.df, "match(conventional, min)")
    dreamerr::check_arg(cluster.adj, "logical scalar")


    res <-
      list(
        adj = adj,
        fixef.K = fixef.K,
        cluster.adj = cluster.adj,
        cluster.df = cluster.df
      )

    class(res) <- "boot_ssc.type"

    res
  }

get_ssc <-
  function(boot_ssc_object,
           N,
           k,
           G,
           vcov_sign,
           heteroskedastic = FALSE) {
    #' Compute small sample adjustment factors
    #' @param boot_ssc_object An object of type 'boot_ssc.type'
    #' @param N The number of observations
    #' @param k The number of estimated parameters
    #' @param G The number of clusters
    #' @param vcov_sign A vector that helps create the covariance matrix
    #' @param heteroskedastic Heteroskedastic wild bootstrap? FALSE by default.
    #' If TRUE, cluster adjustments via G and vcov_sign will be ignored
    #' @return A small sample adjustment factor
    #' @noRd

    adj <- boot_ssc_object$adj
    fixef.K <- boot_ssc_object$fixef.K
    cluster.adj <- boot_ssc_object$cluster.adj
    cluster.df <- boot_ssc_object$cluster.df


    if (heteroskedastic == FALSE) {
      if (adj == TRUE) {
        # if(fixef.K == 'none'){
        adj <- (N - 1) / (N - k)
        # } else {
        #  adj <- (N-1) / N
        # }
      } else {
        adj <- 1
      }

      if (cluster.adj == TRUE) {
        if (cluster.df == "conventional") {
          cluster.adj <- G / (G - 1)
        } else if (cluster.df == "min") {
          G <- min(G)
          cluster.adj <- G / (G - 1)
        }
      } else {
        cluster.adj <- 1
      }

      small_sample_correction <- adj * cluster.adj * vcov_sign
    } else if (heteroskedastic == TRUE) {
      if (adj == TRUE) {
        # if(fixef.K == 'none'){
        adj <- (N - 1) / (N - k)
        # } else {
        #  adj <- (N-1) / N
        # }
      } else {
        adj <- 1
      }

      small_sample_correction <- adj
    }


    small_sample_correction
  }


get_ssc_julia <- function(boot_ssc_object) {
  #' Computes small sample corrections for boot_algo_julia()
  #' @param boot_ssc_object an object of type boot_ssc
  #' @return A small sample adjustment factor
  #' @noRd


  # no small sample correction
  if (boot_ssc_object$adj == FALSE) {
    small <- FALSE
    if (boot_ssc_object$cluster.adj == FALSE) {
      clusteradj <- FALSE
      # set clustermin to FALSE, but argument is irrelevant as
      # clusteradj = FALSE
      clustermin <- FALSE
    }
  }
  # only G adjustment
  if (boot_ssc_object$adj == FALSE) {
    small <- FALSE
    if (boot_ssc_object$cluster.adj == TRUE) {
      clusteradj <- TRUE
      if (boot_ssc_object$cluster.df == "conventional") {
        clustermin <- FALSE
      } else if (boot_ssc_object$cluster.df == "min") {
        clustermin <- TRUE
      }
    }
  }

  # only N adjustment
  if (boot_ssc_object$adj == TRUE) {
    small <- TRUE
    if (boot_ssc_object$cluster.adj == FALSE) {
      clusteradj <- FALSE
      clustermin <- FALSE
    }
  }

  # N and G adjustment
  if (boot_ssc_object$adj == TRUE) {
    small <- TRUE
    if (boot_ssc_object$cluster.adj == TRUE) {
      clusteradj <- TRUE
      if (boot_ssc_object$cluster.df == "conventional") {
        clustermin <- FALSE
      } else if (boot_ssc_object$cluster.df == "min") {
        clustermin <- TRUE
      }
    }
  }



  res <- list(
    small = small,
    clusteradj = clusteradj,
    clustermin = clustermin
  )

  res
}