rwolf | R Documentation |

Function implements the Romano-Wolf multiple hypothesis correction procedure for objects of type 'fixest_multi' ('fixest_multi' are objects created by 'fixest::feols()' that use 'feols()' multiple-estimation interface). The null hypothesis is always imposed on the bootstrap dgp.

rwolf( models, param, B, R = NULL, r = 0, p_val_type = "two-tailed", weights_type = "rademacher", engine = "R", nthreads = 1, bootstrap_type = "fnw11", ... )

`models` |
An object of type 'fixest_multi' or a list of objects of type 'fixest', estimated via ordinary least squares (OLS) |

`param` |
The regression parameter to be tested |

`B` |
The number of bootstrap iterations |

`R` |
Hypothesis Vector giving linear combinations of coefficients. Must be either NULL or a vector of the same length as 'param'. If NULL, a vector of ones of length param. |

`r` |
A numeric. Shifts the null hypothesis H0: 'param.' = r vs H1: 'param.' != r |

`p_val_type` |
Character vector of length 1. Type of hypothesis test By default "two-tailed". Other options include "equal-tailed" (for one-sided tests), ">" and "<" (for two-sided tests). |

`weights_type` |
character or function. The character string specifies the type of bootstrap to use: One of "rademacher", "mammen", "norm" and "webb". Alternatively, type can be a function(n) for drawing wild bootstrap factors. "rademacher" by default. For the Rademacher distribution, if the number of replications B exceeds the number of possible draw ombinations, 2^(#number of clusters), then 'boottest()' will use each possible combination once (enumeration). |

`engine` |
Should the wild cluster bootstrap run via ‘fwildclusterboot’s' R implementation or via ‘WildBootTests.jl'? ’R' by default. The other option is 'WildBootTests.jl'. Running the bootstrap through 'WildBootTests.jl' might significantly reduce the runtime of 'rwolf()' for complex problems (e.g. problems with more than 500 clusters). |

`nthreads` |
Integer. The number of threads to use when running the bootstrap. |

`bootstrap_type` |
Either "11", "13", "31", "33", or "fnw11". "fnw11" by default. See '?fwildclusterboot::boottest' for more details |

`...` |
additional function values passed to the bootstrap function. |

A data.frame containing the following columns:

`model` |
Index of Models |

`Estimate` |
The estimated coefficient of 'param' in the respective model. |

`Std. Error` |
The estimated standard error of 'param' in the respective model. |

`t value` |
The t statistic of 'param' in the respective model. |

`Pr(>|t|)` |
The uncorrected pvalue for 'param' in the respective model. |

`RW Pr(>|t|)` |
The Romano-Wolf corrected pvalue of hypothesis test for 'param' in the respective model. |

To guarantee reproducibility, please set a global random seeds via 'set.seed()'.

Clarke, Romano & Wolf (2019), STATA Journal. IZA working paper: https://ftp.iza.org/dp12845.pdf

library(fixest) library(wildrwolf) set.seed(12345) N <- 1000 X1 <- rnorm(N) Y1 <- 1 + 1 * X1 + rnorm(N) Y2 <- 1 + 0.01 * X1 + rnorm(N) Y3 <- 1 + 0.01 * X1 + rnorm(N) Y4 <- 1 + 0.01 * X1 + rnorm(N) B <- 999 # intra-cluster correlation of 0 for all clusters cluster <- rep(1:50, N / 50) data <- data.frame(Y1 = Y1, Y2 = Y2, Y3 = Y3, Y4 = Y4, X1 = X1, cluster = cluster) res <- feols(c(Y1, Y2, Y3) ~ X1, data = data, cluster = ~ cluster) res_rwolf <- rwolf(models = res, param = "X1", B = B) res_rwolf

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