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lrberge / fixest

Fixed-effects estimations
https://lrberge.github.io/fixest/
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FR: Use Satterthwaite approximation in Wald test #493

Open lrberge opened 2 months ago

lrberge commented 2 months ago

From a discussion in #491

In Clubsandwich they use a Satterthwaite approximation in the denominator of the F statistic which gives far more reliable estimates. https://jepusto.github.io/clubSandwich/articles/Wald-tests-in-clubSandwich.html