tests/testthat/test_multicollinearity.R

In s3alfisc/fwildclusterboot: Fast Wild Cluster Bootstrap Inference for Linear Models

test_that("test multicollinearity", {
  N <- 1000
  X1 <- rnorm(N)
  X2 <- X1
  depvar <- rnorm(N)
  data2 <<- data.frame(
    depvar = depvar,
    X1 = X1,
    X2 = X2,
    clustid = sample(1:10, N, TRUE)
  )

  lm_fit <- lm(depvar ~ X1 + X2, data = data2)
  suppressWarnings(feols_fit <- fixest::feols(depvar ~ X1 + X2, data = data2))
  suppressWarnings(felm_fit <- lfe::felm(depvar ~ X1 + X2, data = data2))

  boot_lm <-
    boottest(
      object = lm_fit,
      param = "X1",
      B = 999,
      clustid = "clustid"
    )
  boot_felm <-
    boottest(
      object = felm_fit,
      param = "X1",
      B = 999,
      clustid = "clustid"
    )
  boot_feols <-
    boottest(
      object = feols_fit,
      param = "X1",
      B = 999,
      clustid = "clustid"
    )

  expect_equal(boot_lm$t_stat, boot_felm$t_stat)
  expect_equal(boot_lm$t_stat, boot_feols$t_stat)
})