wald {fixest} | R Documentation |
Wald test of nullity of coefficients
Description
Wald test used to test the joint nullity of a set of coefficients.
Usage
wald(x, keep = NULL, drop = NULL, print = TRUE, vcov, se, cluster, ...)
Arguments
x |
A fixest object. Obtained using the methods
femlm , feols or feglm .
|
keep |
Character vector. This element is used to display only a subset of variables. This
should be a vector of regular expressions (see base::regex help for more info). Each
variable satisfying any of the regular expressions will be kept. This argument is applied post
aliasing (see argument dict ). Example: you have the variable x1 to x55 and want to display
only x1 to x9 , then you could use keep = "x[[:digit:]]$" . If the first character is an
exclamation mark, the effect is reversed (e.g. keep = "!Intercept" means: every variable that
does not contain “Intercept” is kept). See details.
|
drop |
Character vector. This element is used if some variables are not to be displayed.
This should be a vector of regular expressions (see base::regex help for more info). Each
variable satisfying any of the regular expressions will be discarded. This argument is applied
post aliasing (see argument dict ). Example: you have the variable x1 to x55 and want to
display only x1 to x9 , then you could use drop = "x[[:digit:]]{2} ". If the first character
is an exclamation mark, the effect is reversed (e.g. drop = "!Intercept" means: every variable
that does not contain “Intercept” is dropped). See details.
|
print |
Logical, default is TRUE . If TRUE , then a verbose description of the test
is prompted on the R console. Otherwise only a named vector containing the test statistics
is returned.
|
vcov |
Versatile argument to specify the VCOV. In general, it is either a character
scalar equal to a VCOV type, either a formula of the form: vcov_type ~ variables . The
VCOV types implemented are: "iid", "hetero" (or "HC1"), "cluster", "twoway",
"NW" (or "newey_west"), "DK" (or "driscoll_kraay"), and "conley". It also accepts
object from vcov_cluster , vcov_NW , NW ,
vcov_DK , DK , vcov_conley and
conley . It also accepts covariance matrices computed externally.
Finally it accepts functions to compute the covariances. See the vcov documentation
in the vignette.
|
se |
Character scalar. Which kind of standard error should be computed:
“standard”, “hetero”, “cluster”, “twoway”, “threeway”
or “fourway”? By default if there are clusters in the estimation:
se = "cluster" , otherwise se = "iid" . Note that this argument is deprecated,
you should use vcov instead.
|
cluster |
Tells how to cluster the standard-errors (if clustering is requested).
Can be either a list of vectors, a character vector of variable names, a formula or
an integer vector. Assume we want to perform 2-way clustering over var1 and var2
contained in the data.frame base used for the estimation. All the following
cluster arguments are valid and do the same thing:
cluster = base[, c("var1", "var2")] , cluster = c("var1", "var2") , cluster = ~var1+var2 .
If the two variables were used as fixed-effects in the estimation, you can leave it
blank with vcov = "twoway" (assuming var1 [resp. var2 ] was
the 1st [resp. 2nd] fixed-effect). You can interact two variables using ^ with
the following syntax: cluster = ~var1^var2 or cluster = "var1^var2" .
|
... |
Any other element to be passed to summary.fixest .
|
Details
The type of VCOV matrix plays a crucial role in this test. Use the arguments se
and
cluster
to change the type of VCOV for the test.
Value
A named vector containing the following elements is returned: stat
, p
, df1
,
and df2
. They correspond to the test statistic, the p-value, the first and
second degrees of freedoms.
If no valid coefficient is found, the value NA
is returned.
Examples
data(airquality)
est = feols(Ozone ~ Solar.R + Wind + poly(Temp, 3), airquality)
# Testing the joint nullity of the Temp polynomial
wald(est, "poly")
# Same but with clustered SEs
wald(est, "poly", cluster = "Month")
# Now: all vars but the polynomial and the intercept
wald(est, drop = "Inte|poly")
#
# Toy example: testing pre-trends
#
data(base_did)
est_did = feols(y ~ x1 + i(period, treat, 5) | id + period, base_did)
# The graph of the coefficients
coefplot(est_did)
# The pre-trend test
wald(est_did, "period::[1234]$")
# If "period::[1234]$" looks weird to you, check out
# regular expressions: e.g. see ?regex.
# Learn it, you won't regret it!
[Package
fixest version 0.12.1
Index]