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s3alfisc / fwildclusterboot

Fast Wild Cluster Bootstrap Inference for Regression Models / OLS in R. Additionally, R port to WildBootTests.jl via the JuliaConnectoR.
https://s3alfisc.github.io/fwildclusterboot/
GNU General Public License v3.0
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FYI, small changes to Julia wildboottest() interface #103

Closed droodman closed 1 year ago

droodman commented 1 year ago

I just posted version 0.9.7 of WildBootTests.jl. It includes a couple of changes to the optional arguments, which shouldn't affect fwildclusterboot very much:

  1. The NFE argument is no longer accepted. This was a way to tell the program how many fixed-effect groups there are, and served only to save a little time.
  2. It now accepts a Boolean argument overwrite, which communicates that it's OK to overwrite the supplied data matrices. This saves time and memory in some cases. Probably you can use this because I expect that in the transfer of data from R to Julia, the matrices are being copied, and it's fine to dirty the temporary Julia copies. This option helps less often than one might hope. If the data are clustered and issorted=false, then wildboottest() needs to sort the data by cluster, and it does so by storing the sorted data in new matrices anyway. (Sorting in place is not necessarily faster.) Then it never touches the user's data matrices after that, and the overwrite option doesn't matter. Another way to invoke the overwrite option is to call wildboottest! instead of wildboottest.
  3. FWIW, I added waldtest() and scoretest() functions, which correspond to commands of the same name in the Stata package.

I've made a lot of speed improvements to the WRE in the last few months, so hopefully you'll see that in any benchmarks you run.

s3alfisc commented 1 year ago

Hi David - thanks for the update! I will have some free time over the Easter break and will take a closer look / try to accommodate all these changes then. I will let you know about any updates!

s3alfisc commented 1 year ago

It looks like CIs have changed slightly, I will have to update my unit tests, which fail under the newest version of WildBootTests.jl (so I think these are false positives). link to CI