man/eg.vcovTamal.R

In eliascis/clubTamal: Clustered covariance matrix for panel data estimations

##packages
library(foreign)
library(clubTamal)
library(lmtest)
library(plm)
library(clubSandwich)
library(spd4testing)
library(multiwayvcov)

##setup
#data
d<-spd4testing()
d
#formula
f<- formula(y ~ x + factor(year))
#standard estimation
e<-plm(formula=f,data=d,model="fd")
summary(e)
# e<-plm(formula=f,data=d,model="within")
# summary(e)
#for function
data<-d
f<-f
estimate<-e
groupvar="gid"
byhand=F

# ##clustering
# #no clustering
# v<-e$vcov
# coeftest(e)
# #clustering at id level with plm-package
# v<-vcovHC(e,type="HC1",cluster="group",tol=1*10^-20 )
# coeftest(e,v)
#
# ##clustering at group level with clubSandwich-package
# ##only for Fixed Effects regressions
# v<-vcovCR(e,d$gid,type="CR1")
# coef_test(e,vcov=v,test="naive-t")
# coeftest(e,v)

##clustering at group level with clubTamal
v<-vcovTamal(estimate=e,data=d,groupvar="gid")
coeftest(e,v)

# ##clustering with clubTamal but without using the multivcov package
# \dontrun{
# v<-vcovTamal(estimate=e,data=d,groupvar="gid",byhand=T)
# coeftest(e,v)
# }

##clustering at group level with STATA (TM)
#export data
tdir<-tempdir()
write.csv(d,file.path(tdir,"spd.csv"))
#write stata file
sink(file.path(tdir,"clusterStata.do"))
cat(paste0('insheet using "',file.path("spd.csv"),'", clear'))
cat("\n")
cat('xtset id year')
cat("\n")
cat('xtreg y x i.year, fe')
cat("\n")
cat('xtreg y x i.year, fe vce(cluster gid)')
cat("\n")
cat('reg d.y d.x i.year')
cat("\n")
cat('reg d.y d.x i.year, vce(cluster gid)')
sink()
## RUN Stata file
writeClipboard(tdir)