Only fixed effects that are nested within clusters are allowed to be projected out in the bootstrap. For numerical stability, it is further recommended to project these fixed effects out. Therefore
[x] add an option to summclust.lm and summclust.fixest, e.g. absorb_cluster_fe and set it to TRUE by default.
[x] for regression objects that project out multiple fixed effects that are non-nested, make sure to properly add them as dummies to the design matrix X (see fwildclusterboot code)
[ ] potentially, experiment with out-projection of nested fe's in every jackknife iteration
Only fixed effects that are nested within clusters are allowed to be projected out in the bootstrap. For numerical stability, it is further recommended to project these fixed effects out. Therefore
summclust.lm
andsummclust.fixest
, e.g.absorb_cluster_fe
and set it to TRUE by default.