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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Add new wild cluster bootstrap methods as in MNW (2022) #52

Closed s3alfisc closed 1 year ago

s3alfisc commented 1 year ago

Paper: http://qed.econ.queensu.ca/faculty/mackinnon/working-papers/qed_wp_1485.pdf

s3alfisc commented 1 year ago

First commit into new branch, fast_n_reliable, with implementations of WCRx3 and WCUx3.

s3alfisc commented 1 year ago

Next steps:

Additionally, implement changes to summclust::summclust (which is used to compute CRV3 t-stats), which currently computes measures of leverage for all k covariates, as it can be slow.

s3alfisc commented 1 year ago

Close this for now. I will open new issues for currently not-yet implemented functionality (fixed effect support, CIs, etc).